We consider optimal execution strategies for block market orders placed in a limit order book
(LOB). We build on the resilience model proposed by Obizhaeva and Wang but allow for a …

With an alternative choice of risk criterion, we solve the HJB equation explicitly to find a
closed-form solution for the optimal trade execution strategy in the Almgren–Chriss …

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) …

We propose the use of a mean quadratic variation criteria to determine an optimal trading
strategy in the presence of price impact. We derive the Hamilton Jacobi Bellman (HJB) …

The viability of a market impact model is usually considered to be equivalent to the absence
of price manipulation strategies. By analyzing a model with linear instantaneous, transient …

We consider the problem faced by an investor who must liquidate a given basket of assets
over a finite time horizon. The investor's goal is to maximize the expected utility of the sales …

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 …

We incorporate a Markovian signal in the optimal trading framework which was initially
proposed by Gatheral et al.(Math. Finance 22: 445–474, 2012) and provide results on the …

It is difficult to automatically produce trading signals based on previous transaction data and
the financial status of assets because of the significant noise and unpredictability of capital …

We analyze the existence of price manipulation and optimal trade execution strategies in a
model for an electronic limit order book with nonlinear price impact and exponential …