A fully revised second edition of the best guide to high-frequency trading High-frequency
trading is a difficult, but profitable, endeavor that can generate stable profits in various …

We consider the infinite-horizon optimal portfolio liquidation problem for a von Neumann–
Morgenstern investor in the liquidity model of Almgren (Appl. Math. Finance 10: 1–18, 2003) …

The Science of Algorithmic Trading and Portfolio Management, with its emphasis on
algorithmic trading processes and current trading models, sits apart from others of its kind …

Electronic trading of equities and other securities makes heavy use of “arrival price”
algorithms, that determine optimal trade schedules by balancing the market impact cost of …

Electronic trading of equities and other securities makes heavy use of 'arrival
price'algorithms that balance the market impact cost of rapid execution against the volatility …

We propose a general framework for intraday trading based on the control of trading
algorithms. Given a set of generic parameterized algorithms (which have to be specified by …

The emergence of algorithmic trading as a viable and often preferred execution mechanism
has created a need for new suites of trading analytics to assist investors to compare …

We present results from an experiment where participants have access to automated trading
algorithms, which they may deploy at will while still trading manually. Treatments differ in …

We compare optimal liquidation policies in continuous time in the presence of trading impact
using numerical solutions of Hamilton–Jacobi–Bellman (HJB) partial differential equations …

In a limit order book model with exponential resilience, general shape function, and an
unaffected stock price following the Bachelier model, we consider the problem of optimal …