Alexander Schied

University of Waterloo

Professor

200 University Ave W

Waterloo, Ontario

Canada

  • University of Waterloo

SCHOLARLY PAPERS

23

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SSRN CITATIONS
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Top 4,984

in Total Papers Citations

144

CROSSREF CITATIONS

144

Scholarly Papers (23)

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1.

Dynamical Models of Market Impact and Algorithms for Order Execution

HANDBOOK ON SYSTEMIC RISK, Jean-Pierre Fouque, Joseph A. Langsam, eds., pp. 579-599, Cambridge, 2013
Number of pages: 23 Posted: 05 Apr 2012 Last Revised: 04 Sep 2013
Jim Gatheral and Alexander Schied
CUNY Baruch College and University of Waterloo
Downloads 4,012 (4,022)
Citation 19

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Market impact model, optimal order execution, algorithmic trading, price manipulation, transaction-triggered price manipulation

2.

Optimal Trade Execution under Geometric Brownian Motion in the Almgren and Chriss Framework

International Journal of Theoretical and Applied Finance, Vol. 14, No. 3, pp. 353-368, 2011
Number of pages: 14 Posted: 06 Aug 2010 Last Revised: 03 Oct 2012
Jim Gatheral and Alexander Schied
CUNY Baruch College and University of Waterloo
Downloads 2,487 (8,787)
Citation 7

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HJB, optimal execution, risk measures, market impact

3.

Transient Linear Price Impact and Fredholm Integral Equations

Mathematical Finance, Forthcoming
Number of pages: 30 Posted: 05 Jan 2010 Last Revised: 03 May 2011
Jim Gatheral, Alexander Schied and Alla Slynko
CUNY Baruch College, University of Waterloo and Technische Universität München (TUM)
Downloads 1,892 (13,677)
Citation 6

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Transient price impact, market impact model, optimal order execution, price manipulation, transaction-triggered price manipulation, Fredholm integral equation

4.

Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem

SIAM Journal on Financial Mathematics, Forthcoming
Number of pages: 24 Posted: 04 Nov 2009 Last Revised: 02 Apr 2012
Aurélien Alfonsi, Alexander Schied and Alla Slynko
Université Paris Est - CERMICS, University of Waterloo and Technische Universität München (TUM)
Downloads 1,353 (22,842)
Citation 21

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Transient price impact, market impact model, optimal order execution, price manipulation, transaction-triggered price manipulation, Bochner form, positive definite function, no short sales in Markowitz portfolio

5.

Probabilistic Aspects of Finance

Number of pages: 25 Posted: 11 Sep 2012 Last Revised: 06 Feb 2013
Hans Föllmer and Alexander Schied
Humboldt University of Berlin and University of Waterloo
Downloads 995 (35,750)

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arbitrage pricing theory, hedging, incomplete market, superhedging, Knightian uncertainty, model uncertainty, pathwise Itô calculus, variance swap, monetary measure of risk, convex risk measure, coherent risk measure, algorithmic trading

6.

Exponential Resilience and Decay of Market Impact

ECONOPHYSICS OF ORDER-DRIVEN MARKET, F. Abergel, B.K. Chakrabarti, A. Chakraborti, M. Mitra, eds., pp. 225-236, Springer, 2011
Number of pages: 12 Posted: 01 Aug 2010 Last Revised: 13 Feb 2011
Jim Gatheral, Alexander Schied and Alla Slynko
CUNY Baruch College, University of Waterloo and Technische Universität München (TUM)
Downloads 957 (37,741)

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Order books, price manipulation, exponential resilience

7.

Optimal Basket Liquidation for CARA Investors is Deterministic

Number of pages: 19 Posted: 06 Nov 2009 Last Revised: 24 Feb 2010
Alexander Schied, Torsten Schoeneborn and Michael Tehranchi
University of Waterloo, AHL (Man Investments) and University of Cambridge
Downloads 735 (54,022)
Citation 16

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Liquidity, illiquid markets, optimal liquidation strategies, dynamic trading strategies, algorithmic trading, utility maximization

8.

Optimal Execution Strategies in Limit Order Books with General Shape Functions

Number of pages: 29 Posted: 20 Nov 2009
Aurélien Alfonsi, Antje Fruth and Alexander Schied
Université Paris Est - CERMICS, Technical University Berlin and University of Waterloo
Downloads 732 (54,326)
Citation 49

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Liquidity risk, optimal portfolio liquidation, block trade execution, limit order book, market impact model, nonlinear price impact, order book resilience, market order

9.

Price Manipulation in a Market Impact Model with Dark Pool

Number of pages: 28 Posted: 19 Mar 2011 Last Revised: 19 Jul 2017
Florian Klöck, Alexander Schied and Yuemeng Sunny Sun
University of Mannheim, University of Waterloo and Cornell University - School of Operations Research and Industrial Engineering
Downloads 707 (56,925)
Citation 17

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Price manipulation, transaction-triggered price manipulation, positive expected liquidation costs, dark pool, market impact model, optimal order execution, optimal liquidation

10.

Liquidation in the Face of Adversity: Stealth vs. Sunshine Trading

EFA 2008 Athens Meetings Paper
Number of pages: 50 Posted: 27 Aug 2007 Last Revised: 20 Mar 2009
Torsten Schoeneborn and Alexander Schied
AHL (Man Investments) and University of Waterloo
Downloads 688 (59,036)
Citation 18

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Liquidity, liquidity crisis, liquidity provision, optimal liquidation strategies, predatory trading, sunshine trading, stealth trading

11.

Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models

Number of pages: 33 Posted: 04 Nov 2009 Last Revised: 16 Apr 2010
Aurélien Alfonsi and Alexander Schied
Université Paris Est - CERMICS and University of Waterloo
Downloads 678 (60,130)
Citation 12

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limit order book, optimal execution, exponential resilience, price manipulation

12.

Some Mathematical Aspects of Market Impact Modeling

Number of pages: 23 Posted: 07 Jan 2011 Last Revised: 27 Jun 2011
Alexander Schied and Alla Slynko
University of Waterloo and Technische Universität München (TUM)
Downloads 617 (67,936)
Citation 1

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Market Impact Model, Optimal Order Execution, Hamilton-Jacobi-Bellman Equation, Finite-Fuel Control, Transient Price Impact, Price Manipulation, Transaction-Triggered Price Manipulation, Fredholm Integral Equation, Potential Theory, Capacitary Distribution

13.

Risk Aversion and the Dynamics of Optimal Liquidation Strategies in Illiquid Markets

Number of pages: 17 Posted: 11 Feb 2008
Alexander Schied and Torsten Schoeneborn
University of Waterloo and AHL (Man Investments)
Downloads 549 (78,973)
Citation 14

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Liquidity, illiquid markets, optimal liquidation strategies, dynamic trading strategies, algorithmic trading, utility maximization

14.

Robustness in the Optimization of Risk Measures

Operations Research, forthcoming
Number of pages: 45 Posted: 16 Oct 2018 Last Revised: 06 Apr 2021
Paul Embrechts, Alexander Schied and Ruodu Wang
Swiss Federal Institute of Technology Zurich, University of Waterloo and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 299 (157,586)
Citation 2

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robustness, Value-at-Risk, Expected Shortfall, optimization, financial regulation

15.

Optimal Portfolio Liquidation for CARA Investors

Number of pages: 11 Posted: 02 Oct 2007
Alexander Schied and Torsten Schoeneborn
University of Waterloo and AHL (Man Investments)
Downloads 263 (179,755)
Citation 8

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Liquidity, illiquid markets, optimal liquidation strategies, dynamic trading strategies, algorithmic trading, utility maximization

16.

Model-Free CPPI

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 18 Posted: 22 May 2013 Last Revised: 16 Jan 2014
Alexander Schied
University of Waterloo
Downloads 202 (231,324)
Citation 3

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Portfolio insurance, CPPI, DPPI, pathwise Itô calculus, gap risk, Knightian uncertainty, model risk, associativity of the pathwise Itô integral

17.

Robust Strategies for Optimal Order Execution in the Almgren-Chriss Framework

Applied Mathematical Finance, Forthcoming
Number of pages: 20 Posted: 25 Jan 2012 Last Revised: 25 Sep 2012
Alexander Schied
University of Waterloo
Downloads 188 (246,615)
Citation 8

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market impact, optimal order execution, Almgren-Chriss model, robustness, model uncertainty

18.

Distributional Transforms, Probability Distortions, and Their Applications

Number of pages: 33 Posted: 15 Jul 2019 Last Revised: 13 Apr 2020
Peng Liu, Alexander Schied and Ruodu Wang
University of Essex, University of Waterloo and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 161 (281,819)
Citation 3

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distributional transforms, probability distortions, risk measures, option pricing, sensitivity analysis, change of measures, Value-at-Risk, Expected Shortfall, composition of groups

19.

Drift Dependence of Optimal Trade Execution Strategies Under Transient Price Impact

Finance Stochastics, Forthcoming
Number of pages: 25 Posted: 30 Jan 2012 Last Revised: 04 Mar 2013
Christopher Lorenz and Alexander Schied
University of Mannheim and University of Waterloo
Downloads 139 (317,509)
Citation 3

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market impact, transient price impact, optimal trade execution, drift dependence, robustness

20.

A Market Impact Game Under Transient Price Impact

Number of pages: 26 Posted: 26 Apr 2013 Last Revised: 09 May 2017
Alexander Schied and Tao Zhang
University of Waterloo and University of Mannheim
Downloads 99 (405,310)
Citation 10

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21.

Capacitary Measures for Completely Monotone Kernels Via Singular Control

Number of pages: 27 Posted: 13 Jan 2012 Last Revised: 26 Feb 2013
Aurélien Alfonsi and Alexander Schied
Université Paris Est - CERMICS and University of Waterloo
Downloads 93 (422,238)
Citation 2

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Singular control, verification argument, capacity theory, optimal order execution, transient price impact, infinite-dimensional Riccati differential equation

22.

A Central Bank Strategy for Defending a Currency Peg

Number of pages: 11 Posted: 17 Dec 2019 Last Revised: 03 Aug 2020
Eyal Neuman, Alexander Schied, Chengguo Weng and Xiaole Xue
Imperial College London - Department of Mathematics, University of Waterloo, University of Waterloo and Shandong University
Downloads 82 (455,932)

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currency target zone, currency peg, price impact, central bank intervention, singular stochastic control, second-order differential equation with infinite boundary conditions

23.

Protecting Pegged Currency Markets from Speculative Investors

Number of pages: 16 Posted: 17 Apr 2020 Last Revised: 18 Feb 2021
Eyal Neuman and Alexander Schied
Imperial College London - Department of Mathematics and University of Waterloo
Downloads 32 (689,083)
Citation 2

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currency peg, market impact, target zone models, singular stochastic control, local time, Stackelberg equilibrium