Advanced search
Publication Cover
Cogent Economics & Finance Volume 5, 2017 - Issue 1
Submit an article Journal homepage
774
Views
0
CrossRef citations to date
0
Altmetric
Research Article

Optimal execution strategy in liquidity framework

Chiara BenazzoliMathematics Department, University of Trento, Via Sommarive, 14 - 38123Povo, ItalyView further author information
&
Luca Di PersioDepartment of Computer Science, University of Verona, Strada le Grazie, 15 - 37134Verona, ItalyCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0002-0317-4351View further author information
ORCID Icon |
David McMillanUniversity of Stirling, UKView further author information
(Reviewing Editor)
Article: 1364902 | Received 07 Jun 2017, Accepted 28 Jul 2017, Published online: 12 Sep 2017

References

  • Almgren, R., & Chriss, N. (1999). Value under liquidation. Risk, 12, 61–63.
  • Almgren, R., & Chriss, N. (2001). Optimal execution of portfolio transactions. Journal of Risk, 3, 5–39.
  • Barbu, V., Cordoni, F., & Di Persio, L. (2016). Optimal control of stochastic FitzHugh-Nagumo equation. International Journal of Control, 89, 746–756.
  • Benazzoli, C., & Di Persio, L. (2014). Optimal execution strategy under arithmetic Brownian motion with VaR and ES as risk parameters. International Journal of Applied Mathematics, 27, 155–162.
  • Brigo, D., & Di Graziano, G. (2014). Optimal trade execution under displaced diffusions dynamics across different risk criteria. Journal of Financial Engineering, 1(2).
  • Cetin, U., & Rogers, L. C. (2007). Modeling liquidity effects in discrete time. Mathematical Finance, 17, 15–29.
  • Cheridito, P., & Sepin, T. (2014). Optimal execution under stochastic volatility and liquidity. Applied Mathematical Finance, 21, 342–362.
  • Di Persio, L., & Ziglio, G. (2011). Gaussian estimates on networks with applications to optimal control. Networks and Heterogeneous Media, 6, 279–296.
  • Gatheral, J., & Schied, A. (2011). Optimal trade execution under geometric Brownian motion in the Almgren and Chriss framework. International Journal of Theoretical and Applied Finance, 14, 353–368.
  • Gokay, S., Roch, A. F., & Mete Soner, H. (2010). Liquidity models in continuous and discrete time. In Advanced mathematical methods for finance (pp. 333–365). Berlin Heidelberg: Springer.
  • Ku, H., Lee, K., & Zhu, H. (2012). Discrete time hedging with liquidity risk. Finance Research Letters, 9, 135–143.
  • Schied, A. (2013). Robust strategies for optimal order execution in the Almgren-Chriss framework. Applied Mathematical Finance, 20, 264–286.
Supercharge Your Next Research Paper: Research and write your next paper with Jenni AI.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.