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Optimal trade execution for Gaussian signals with power-law resilience

descriptionPublicationkeyboard_double_arrow_right Article 23 Jul 2021 English Publisher:Informa UK LimitedJournal:Quantitative Finance, volume 22, pages 585-596 (issn: 1469-7688, eissn: 1469-7696, Copyright policy )
Authors: Forde, Martin; Sánchez-Betancourt, Leandro; Smith, Benjamin;

doi: 10.1080/14697688.2021.1950919

Optimal trade execution for Gaussian signals with power-law resilience

Abstract

We characterize the optimal signal-adaptive liquidation strategy for an agent subject to power-law resilience and zero temporary price impact with a Gaussian signal, which can include e.g an OU pro...

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Keywords

Market microstructure modeling, High frequency trading, Transient price impact, Gaussian processes, Fredholm integral equations, Trading with signals, Optimal liquidation, 510

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
17
Top 10%
Top 10%
Top 10%
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