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Cogent Economics & Finance Volume 5, 2017 - Issue 1
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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.

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