Execution and Block Trade Pricing with Optimal Constant Rate of Participation

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ISSN Print: 2162-2434
ISSN Online: 2162-2442
www.scirp.org/journal/jmf
E-mail: jmf@scirp.org

"Execution and Block Trade Pricing with Optimal Constant Rate of Participation"
written by Olivier Guéant,
published by Journal of Mathematical Finance, Vol.4 No.4, 2014

has been cited by the following article(s):

[1]	An Examination of Share Buyback Program Execution
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[2]	Bandits for algorithmic trading with signals
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[3]	Market Impact of Small Orders
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[4]	Quantitative finance at the microstructure scale: algorithmic trading and regulation
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[5]	Optimal Benchmarks from a Trader's Perspective
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[6]	Optimal Execution of Accelerated Share Repurchase Contracts with Fixed Notional
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[7]	The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making
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[8]	A Closed-Form Execution Strategy to Target Volume Weighted Average Price
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[9]	Optimal Execution in Hong Kong given a Market-On-Close Benchmark
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[10]	Algorithmic and High-Frequency Trading
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[11]	Modeling, optimization and estimation for the on-line control of trading algorithms in limit-order markets
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[12]	Optimal execution of ASR contracts with fixed notional
	arXiv preprint arXiv:1410.1481, 2014

[13]	A Trading Execution Model Based on Mean Field Games and Optimal Control
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[14]	A Closed-Form Execution Strategy to Target VWAP
	Available at SSRN 2542314, 2014

[1]	Market Impact of Small Orders SSRN Electronic Journal , 2022 DOI:10.2139/ssrn.4004403

[2]	Optimal execution in Hong Kong given a market-on-close benchmark Quantitative Finance, 2017 DOI:10.1080/14697688.2017.1334126

[3]	A Closed-Form Execution Strategy to Target Volume Weighted Average Price SIAM Journal on Financial Mathematics, 2016 DOI:10.1137/16M1058406

[4]	Optimal Execution in Hong Kong Given a Market-on-Close Benchmark SSRN Electronic Journal, 2015 DOI:10.2139/ssrn.2617019

[5]	A Closed-Form Execution Strategy to Target VWAP SSRN Electronic Journal, 2014 DOI:10.2139/ssrn.2542314

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