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Quantitative Finance Volume 22, 2022 - Issue 3
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Research Papers

Optimal trade execution for Gaussian signals with power-law resilience

Martin Forde† Maths Dept, King's College London School of Natural and Mathematical Sciences, London, UKCorrespondence[email protected]
,
Leandro Sánchez-Betancourt‡ Mathematical Institute, University of Oxford, Andrew Wiles Building, Radcliffe Observatory Quarter, Woodstock Road, Oxford, OX2 6GG, UK
&
Benjamin Smith§ Dept. Mathematics, King's College London, Strand, London, WC2R 2LS, UK
Pages 585-596 | Received 02 Oct 2020, Accepted 25 Jun 2021, Published online: 23 Jul 2021

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Read on this site (3)

Fayçal Drissi. (2022) Solvability of Differential Riccati Equations and Applications to Algorithmic Trading with Signals. Applied Mathematical Finance 29:6, pages 457-493.
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Giuliana Bordigoni, Alessio Figalli, Anthony Ledford & Philipp Ustinov. (2022) Strategic Execution Trajectories. Applied Mathematical Finance 29:4, pages 288-330.
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Ryan Donnelly. (2022) Optimal Execution: A Review. Applied Mathematical Finance 29:3, pages 181-212.
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Articles from other publishers (3)

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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Álvaro Cartea, Fayçal Drissi & Marcello Monga. (2022) Decentralised Finance and Automated Market Making: Execution and Speculation. SSRN Electronic Journal.
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Giuliana Bordigoni, Alessio Figalli, Anthony Ledford & Philipp Ustinov. (2021) Strategic Execution Trajectories. SSRN Electronic Journal.
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