References
- Alexander, G., & Peterson, M. (2007). An analysis of trade-size clustering and its relation to stealth trading. Journal of Financial Economics, 84(2), 435–471.
- Almgren, R. (2003). Optimal execution with nonlinear impact functions and trading-enhanced risk. Applied Mathematical Finance, 10(1), 1–18.
- Almgren, R., & Chriss, N. (2001). Optimal execution of portfolio transactions. Journal of Risk, 3, 5–40.
- Bertsimas, D., & Lo, A. W. (1998). Optimal control of execution costs. Journal of Financial Markets, 1(1), 1–50.
- Bertsimas, D., Lo, A. W., & Hummel, P. (1999). Optimal control of execution costs for portfolios. Computing in Science & Engineering, 1(6), 40–53.
- Butenko, S., Golodnikov, A., & Uryasev, S. (2005). Optimal security liquidation algorithms. Computational Optimization and Applications, 32(1), 9–27.
- Chakravarty, S. (2001). Stealth-trading: Which traders trades move stock prices? Journal of Financial Economics, 61(2), 289–307.
- Chan, L. K. C. & Lakonishok, J. (1993). Institutional trades and intraday stock price behavior. Journal of Financial Economics, 33(2), 173–199.
- Domowitz, I., & Yegerman, H. (2005). The cost of algorithmic trading. Trading, 2005(1), 30–40.
- Engle, R., & Ferstenberg, R. (2006). Execution risk (Report). National Bureau of Economic Research.
- Hasbrouck, J., & Seppi, D. (2001). Common factors in prices, order flows, and liquidity. Journal of Financial Economics, 59(3), 383–411.
- He, H., & Mamaysky, H. (2005). Dynamic trading policies with price impact. Journal of Economic Dynamics and Control, 29(5), 891–930.
- Huberman, G., & Stanzl, W. (2005). Optimal liquidity trading. Review of Finance, 9(2), 165–200.
- Kissell, R., Glantz, M., & Malamut, R. (2004). A practical framework for estimating transaction costs and developing optimal trading strategies to achieve best execution. Finance Research Letters, 1(1), 35–46.
- Kissell, R., & Malamut, R. (2006). Algorithmic decision-making framework. The Journal of Trading, 1(1), 12–21.
- Loeb, T. F. (1983). Trading cost: The critical link between investment information and results. Financial Analysts Journal, 39(3), 39–44.
- Merton, R. (1971). Optimum consumption and portfolio rules in a continuous-time model. Journal of Economic Theory, 3(4), 373–413.
- Perold, A. F. (1988). The implementation shortfall: Paper versus reality. The Journal of Portfolio Management, 14(3), 4–9.
- Subramanian, S., & Sherali, H. D. (2010). A fractional programming approach for retail category price optimization. Journal of Global Optimization, 48(2), 263–277.