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Quantitative Finance Volume 15, 2015 - Issue 8: Special Issue on High Frequency Data Modeling in Finance
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Research Papers

Optimal execution with limit and market orders

Álvaro CarteaDepartment of Mathematics, University College London, Gower Street, London, WC1E 6BTUK.Correspondence[email protected]
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Sebastian JaimungalDepartment of Statistical Sciences, University of Toronto, 27 King’s College Circle, Toronto, ON, M5SCanada.View further author information
Pages 1279-1291 | Received 25 Feb 2014, Accepted 21 Jul 2014, Published online: 07 May 2015

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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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Nabeel Butt. (2021) From approximate to exact probability models in dynamic portfolio decision theory. Journal of the Operational Research Society 72:2, pages 268-280.
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Daniel Mitchell & Jingnan Chen. (2020) Market or limit orders?. Quantitative Finance 20:3, pages 447-461.
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Álvaro Cartea, Sebastian Jaimungal & Yixuan Wang. (2020) Spoofing and Price Manipulation in Order-Driven Markets. Applied Mathematical Finance 27:1-2, pages 67-98.
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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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Johannes Muhle‐Karbe, Zexin Wang & Kevin Webster. (2023) A Leland model for delta hedging in central risk books. Mathematical Finance 33:3, pages 504-547.
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Alexandre Roch. (2023) Optimal Liquidation Through a Limit Order Book: A Neural Network and Simulation Approach. Methodology and Computing in Applied Probability 25:1.
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Jonathan A. Chávez Casillas. (2023) A Time-Dependent Markovian Model of a Limit Order Book. Computational Economics.
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Marcel Nutz, Kevin Webster & Long Zhao. (2023) Unwinding Stochastic Order Flow: When to Warehouse Trades. SSRN Electronic Journal.
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Nian Yang, Jianchang Zhu & Hui Lin. (2023) Optimal Order Execution Using After-Hour Fixed-Price Trading. SSRN Electronic Journal.
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Timothée Fabre & Vincent Ragel. (2023) Tackling the Problem of State Dependent Execution Probability: Empirical Evidence and Order Placement. SSRN Electronic Journal.
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Kristof Lommers, Jack Kim, Boris Skidan & Viktor Smits. (2023) The Case for Stochastically Dynamic AMMs. SSRN Electronic Journal.
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Álvaro Cartea & Leandro Sánchez-Betancourt. (2022) Optimal execution with stochastic delay. Finance and Stochastics 27:1, pages 1-47.
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Ali Al-Aradi, Adolfo Correia, Gabriel Jardim, Danilo de Freitas Naiff & Yuri Saporito. (2022) Extensions of the deep Galerkin method. Applied Mathematics and Computation 430, pages 127287.
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Mazin A. M. Al Janabi. (2022) A Novel Modeling Technique for the Forecasting of Multiple-Asset Trading Volumes: Innovative Initial-Value-Problem Differential Equation Algorithms for Reinforcement Machine Learning. Complexity 2022, pages 1-16.
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Matthias Schnaubelt. (2022) Deep reinforcement learning for the optimal placement of cryptocurrency limit orders. European Journal of Operational Research 296:3, pages 993-1006.
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Charles-Albert LehalleOthmane Mounjid & Mathieu Rosenbaum. (2021) Optimal Liquidity-Based Trading Tactics. Stochastic Systems 11:4, pages 368-390.
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Matthew Lorig, Zhou Zhou & Bin Zou. (2021) Optimal bookmaking. European Journal of Operational Research 295:2, pages 560-574.
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Jiangming Ma & Di Gao. (2020) A Class of Optimal Liquidation Problem with a Nonlinear Temporary Market Impact. Mathematical Problems in Engineering 2020, pages 1-7.
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Amir Javadpour, Kh Saedifar, Guojun Wang & Kuan-Ching Li. (2020) Optimal Execution Strategy for Large Orders in Big Data: Order Type using Q-learning Considerations. Wireless Personal Communications 112:1, pages 123-148.
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Jasdeep Kalsi, Terry Lyons & Imanol Perez Arribas. (2020) Optimal Execution with Rough Path Signatures. SIAM Journal on Financial Mathematics 11:2, pages 470-493.
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Bastien Baldacci & Jerome Benveniste. (2021) A Note on Almgren–Chriss Optimal Execution Problem with Geometric Brownian Motion. Market Microstructure and Liquidity 05:01n04.
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HUGO E. RAMIREZ, PETER DUCK, PAUL V. JOHNSON & SYDNEY HOWELL. (2019) HEDGE-FUND MANAGEMENT WITH LIQUIDITY CONSTRAINT. International Journal of Theoretical and Applied Finance 22:06, pages 1950026.
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Philippe Casgrain & Sebastian Jaimungal. (2019) Trading algorithms with learning in latent alpha models. Mathematical Finance 29:3, pages 735-772.
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Álvaro Cartea, Luhui Gan & Sebastian Jaimungal. (2019) Trading co-integrated assets with price impact. Mathematical Finance 29:2, pages 542-567.
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Charles-Albert Lehalle & Eyal Neuman. (2019) Incorporating signals into optimal trading. Finance and Stochastics 23:2, pages 275-311.
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Álvaro Cartea, Luhui Gan & Sebastian Jaimungal. (2019) Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders. SIAM Journal on Financial Mathematics 10:3, pages 790-814.
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Yuanyuan Chen, Xuefeng Gao & Duan Li. (2018) Optimal order execution using hidden orders. Journal of Economic Dynamics and Control 94, pages 89-116.
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ÁLVARO CARTEA, SEBASTIAN JAIMUNGAL & JASON RICCI. (2018) TRADING STRATEGIES WITHIN THE EDGES OF NO-ARBITRAGE. International Journal of Theoretical and Applied Finance 21:03, pages 1850025.
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Álvaro Cartea, Sebastian Jaimungal & Jason Ricci. (2018) Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes. SIAM Review 60:3, pages 673-703.
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Antoine Jacquier & Hao Liu. (2018) Optimal Liquidation in a Level-I Limit Order Book for Large-Tick Stocks. SIAM Journal on Financial Mathematics 9:3, pages 875-906.
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Roman Gayduk & Sergey Nadtochiy. (2018) Endogenous Formation of Limit Order Books: Dynamics Between Trades. SIAM Journal on Control and Optimization 56:3, pages 1577-1619.
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Brian Bulthuis, Julio Concha, Tim Leung & Brian Ward. (2017) Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty. International Journal of Financial Engineering 04:02n03, pages 1750020.
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Anatoliy Swishchuk & Nelson Vadori. (2017) A Semi-Markovian Modeling of Limit Order Markets. SIAM Journal on Financial Mathematics 8:1, pages 240-273.
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Maria Elvira Mancino, Maria Cristina Recchioni & Simona SanfeliciMaria Elvira Mancino, Maria Cristina Recchioni & Simona Sanfelici. 2017. Fourier-Malliavin Volatility Estimation. Fourier-Malliavin Volatility Estimation 1 4 .
ÁLVARO CARTEA, SEBASTIAN JAIMUNGAL & DAMIR KINZEBULATOV. (2016) ALGORITHMIC TRADING WITH LEARNING. International Journal of Theoretical and Applied Finance 19:04, pages 1650028.
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Álvaro Cartea & Sebastian Jaimungal. (2016) Incorporating order-flow into optimal execution. Mathematics and Financial Economics 10:3, pages 339-364.
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Kyle Bechler & Michael Ludkovski. (2015) Optimal Execution with Dynamic Order Flow Imbalance. SIAM Journal on Financial Mathematics 6:1, pages 1123-1151.
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Jingwei Ji, Renyuan Xu & Ruihao Zhu. (2022) Risk-Aware Linear Bandits: Theory and Applications in Smart Order Routing. SSRN Electronic Journal.
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Johannes Muhle-Karbe, Zexin Wang & Kevin Webster. (2022) A Leland Model for Delta Hedging in Central Risk Books. SSRN Electronic Journal.
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Álvaro Cartea & Leandro Sánchez-Betancourt. (2021) Optimal Execution with Stochastic Delay. SSRN Electronic Journal.
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Matthew Lorig, Zhou Zhou & Bin Zou. (2019) Optimal Bookmaking. SSRN Electronic Journal.
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Brian M Bulthuis, Julio Concha & Tim Leung. (2017) Fast and Precautious: Order Controls for Trade Execution. SSRN Electronic Journal.
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lvaro Cartea, Luhui Gan & Sebastian Jaimungal. (2017) Hedge and Speculate: Replicating Option Payoffs with Limit and Market Orders. SSRN Electronic Journal.
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lvaro Cartea & Sebastian Jaimungal. (2017) Portfolio Liquidation and Ambiguity Aversion. SSRN Electronic Journal.
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Katia Colaneri, Zehra Eksi & Michaela Szolgyenyi. (2016) Shall I Sell or Shall I Wait? Optimal Liquidation Under Partial Information with Price Impact. SSRN Electronic Journal.
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Antoine Jacquier & Hao Liu. (2017) Optimal Liquidation in a Level-I Limit Order Book for Large Tick Stocks. SSRN Electronic Journal.
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Philippe Casgrain & Sebastian Jaimungal. (2016) Trading Algorithms with Learning in Latent Alpha Models. SSRN Electronic Journal.
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Brian M Bulthuis, Julio Concha & Tim Leung. (2016) Optimal Execution of Limit and Market Orders with Trade Director, Speed Limiter, and Fill Uncertainty. SSRN Electronic Journal.
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lvaro Cartea, Luhui Gan & Sebastian Jaimungal. (2015) Liquidating Baskets of Co-Moving Assets. SSRN Electronic Journal.
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lvaro Cartea, Sebastian Jaimungal & Jason Ricci. (2015) Trading Strategies within the Edges of No-Arbitrage. SSRN Electronic Journal.
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lvaro Cartea, Sebastian Jaimungal & Damir Kinzebulatov. (2013) Algorithmic Trading with Learning. SSRN Electronic Journal.
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Etienne Chevalier, Vathana Ly Vath, Alexandre F. Roch & Simone Scotti. (2013) Optimal Execution Cost for Liquidation Through a Limit Order Market. SSRN Electronic Journal.
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