has been cited by the following article(s):
[1]
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Revisiting Optimal Execution of Portfolio Transactions: A Dynamic Programming and Reinforcement Learning Approach
SSRN Electronic Journal,
2023
DOI:10.2139/ssrn.4508553
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[2]
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Optimal Pair–Trade Execution with Generalized Cross–Impact
Asia-Pacific Financial Markets,
2022
DOI:10.1007/s10690-021-09349-1
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[3]
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DISCRETE-TIME OPTIMAL EXECUTION UNDER A GENERALIZED PRICE IMPACT MODEL WITH MARKOVIAN EXOGENOUS ORDERS
International Journal of Theoretical and Applied Finance,
2021
DOI:10.1142/S0219024921500254
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[4]
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Research on the Effects of Institutional Liquidation Strategies on the Market Based on Multi-agent Model
Computational Economics,
2021
DOI:10.1007/s10614-020-09987-z
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[5]
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Optimal and equilibrium execution strategies with generalized price impact
Quantitative Finance,
2020
DOI:10.1080/14697688.2020.1749294
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[6]
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Discrete–Time Optimal Execution Under a Generalized Price Impact Model With Markovian Exogenous Orders
SSRN Electronic Journal ,
2020
DOI:10.2139/ssrn.3714066
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[7]
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Optimal and Equilibrium Execution Strategies with Generalized Price Impact
SSRN Electronic Journal ,
2019
DOI:10.2139/ssrn.3323335
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[8]
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Optimal Off-Exchange Execution with Closing Price
Journal of Mathematical Finance,
2017
DOI:10.4236/jmf.2017.71003
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