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Applied Mathematical Finance Volume 21, 2014 - Issue 4
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Original Articles

Optimal Trade Execution Under Stochastic Volatility and Liquidity

Patrick CheriditoDepartment of Operations Research and Financial Engineering (ORFE), Princeton University, Princeton, NJ08544, USACorrespondence[email protected]
&
Tardu SepinDepartment of Operations Research and Financial Engineering (ORFE), Princeton University, Princeton, NJ08544, USA
Pages 342-362 | Received 27 Jan 2012, Accepted 17 Dec 2013, Published online: 31 Jan 2014

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Nikhil Krishnan & Ronnie Sircar. (2022) Accelerated Share Repurchases Under Stochastic Volatility. Applied Mathematical Finance 29:5, pages 331-365.
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Ryan Donnelly. (2022) Optimal Execution: A Review. Applied Mathematical Finance 29:3, pages 181-212.
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Max O. Souza & Y. Thamsten. (2022) On Regularized Optimal Execution Problems and Their Singular Limits. Applied Mathematical Finance 29:2, pages 79-109.
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Álvaro Cartea & Yixuan Wang. (2019) Market making with minimum resting times. Quantitative Finance 19:6, pages 903-920.
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Hua-Yi Lin & Arash Fahim. (2017) Optimal portfolio execution under time-varying liquidity constraints. Applied Mathematical Finance 24:5, pages 387-416.
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Chiara Benazzoli & Luca Di Persio. (2017) Optimal execution strategy in liquidity framework. Cogent Economics & Finance 5:1.
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Articles from other publishers (20)

Jean-Pierre Fouque, Sebastian Jaimungal & Yuri F. Saporito. (2022) Optimal Trading with Signals and Stochastic Price Impact. SIAM Journal on Financial Mathematics 13:3, pages 944-968.
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Ivan Cherednik. (2021) Artificial Intelligence Approach to Momentum Risk-Taking. International Journal of Financial Studies 9:4, pages 58.
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Julia Ackermann, Thomas Kruse & Mikhail Urusov. (2021) Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models. Finance and Stochastics 25:4, pages 757-810.
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Yuan Cheng & Lan Wu. (2021) Optimal Execution considering Trading Signal and Execution Risk Simultaneously. Mathematical Problems in Engineering 2021, pages 1-12.
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Julia Ackermann, Thomas Kruse & Mikhail Urusov. (2021) Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters. SIAM Journal on Financial Mathematics 12:2, pages 788-822.
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Arti Singh & Selvamuthu Dharmaraja. (2017) Optimal portfolio trading subject to stochastic dominance constraints under second‐order autoregressive price dynamics. International Transactions in Operational Research 27:3, pages 1771-1803.
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Antje Fruth, Torsten Schöneborn & Mikhail Urusov. (2019) Optimal trade execution in order books with stochastic liquidity. Mathematical Finance 29:2, pages 507-541.
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Pavol Brunovský, Aleš Černý & Ján Komadel. (2018) Optimal trade execution under endogenous pressure to liquidate: Theory and numerical solutions. European Journal of Operational Research 264:3, pages 1159-1171.
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Chiara Benazzoli & Luca Di Persio. 2018. Handbook of Recent Advances in Commodity and Financial Modeling. Handbook of Recent Advances in Commodity and Financial Modeling 251 265 .
Xin Guo, Adrien de Larrard & Zhao Ruan. (2016) Optimal placement in a limit order book: an analytical approach. Mathematics and Financial Economics 11:2, pages 189-213.
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Álvaro Cartea, Fayçal Drissi & Marcello Monga. (2022) Decentralised Finance and Automated Market Making: Execution and Speculation. SSRN Electronic Journal.
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weiping wu, Jianjun Gao & Dian Yu. (2021) Constrained Optimal Execution in Limit Order Book Market with Power-shaped Market Depth. SSRN Electronic Journal.
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Markus Leippold & Steven Schaerer. (2018) Optimal Conic Execution Strategies with Stochastic Liquidity. SSRN Electronic Journal.
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Xue Cheng & Tai-Ho Wang. (2015) Optimal Execution with Uncertain Order Fills in Almgren-Chriss Framework. SSRN Electronic Journal.
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Patrick Chan & Ronnie Sircar. (2015) Optimal Trading with Predictable Return and Stochastic Volatility. SSRN Electronic Journal.
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Patrick Cheridito & Tardu Sepin. (2014) Portfolio Execution with a Dark Pool Under Stochastic Volatility and Liquidity. SSRN Electronic Journal.
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Patrick Cheridito & Tardu Sepin. (2014) Optimal Trade Execution with a Dark Pool and Adverse Selection. SSRN Electronic Journal.
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Luca Mertens. (2014) Latent Price Impact. SSRN Electronic Journal.
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Xin Guo, Adrien de Larrard & Zhao Ruan. (2013) Optimal Placement in a Limit Order Book. SSRN Electronic Journal.
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Sebastian Jaimungal & Damir Kinzebulatov. (2013) Optimal Execution with a Price Limiter. SSRN Electronic Journal.
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