Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/108603/1/mafi529.pd
This paper addresses the optimal scheduling of the liquidation of a portfolio using a new angle. Ins...
The distribution of liquidity within the limit order book is essential for the impact of market orde...
We consider a stochastic model for the dynamics of the two-sided limit order book (LOB). For the joi...
We consider a framework for solving optimal liquidation problems in limit order books. In particular...
Abstract: A model is proposed to study optimal trading strategies in a limit order book, as typicall...
This paper addresses the optimal scheduling of the liquidation of a portfolio using a new angle. Ins...
This thesis is devoted to study the optimal liquidation strategies in a limit order book for large-t...
International audienceWe consider optimal execution strategies for block market orders placed in a l...
We study the problem of optimally liquidating a large portfolio position in a limit-order market. We...
A Limit Order Book (LOB), a trading system used by most of the electronic financial trading exchange...
International audienceWe study the optimal liquidation problem using limit orders. If the seminal li...
22 pagesWe propose a framework for studying optimal market making policies in a limit order book (LO...
International audienceIn this research, we develop a trading strategy for the optimal liquidation pr...
International audienceThis paper focuses on an extension of the Limit Order Book (LOB) model with ge...
We propose a framework for studying optimal market making policies in a limit order book (LOB). The ...
This paper addresses the optimal scheduling of the liquidation of a portfolio using a new angle. Ins...
The distribution of liquidity within the limit order book is essential for the impact of market orde...
We consider a stochastic model for the dynamics of the two-sided limit order book (LOB). For the joi...
We consider a framework for solving optimal liquidation problems in limit order books. In particular...
Abstract: A model is proposed to study optimal trading strategies in a limit order book, as typicall...
This paper addresses the optimal scheduling of the liquidation of a portfolio using a new angle. Ins...
This thesis is devoted to study the optimal liquidation strategies in a limit order book for large-t...
International audienceWe consider optimal execution strategies for block market orders placed in a l...
We study the problem of optimally liquidating a large portfolio position in a limit-order market. We...
A Limit Order Book (LOB), a trading system used by most of the electronic financial trading exchange...
International audienceWe study the optimal liquidation problem using limit orders. If the seminal li...
22 pagesWe propose a framework for studying optimal market making policies in a limit order book (LO...
International audienceIn this research, we develop a trading strategy for the optimal liquidation pr...
International audienceThis paper focuses on an extension of the Limit Order Book (LOB) model with ge...
We propose a framework for studying optimal market making policies in a limit order book (LOB). The ...
This paper addresses the optimal scheduling of the liquidation of a portfolio using a new angle. Ins...
The distribution of liquidity within the limit order book is essential for the impact of market orde...
We consider a stochastic model for the dynamics of the two-sided limit order book (LOB). For the joi...
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