Optimal Execution in Illiquid Market with the Absence of Price Manipulation

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Journal of Mathematical Finance

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"Optimal Execution in Illiquid Market with the Absence of Price Manipulation"
written by Seiya Kuno, Masamitsu Ohnishi,
published by Journal of Mathematical Finance, Vol.5 No.1, 2015

has been cited by the following article(s):

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CrossRef

[1]	Optimal Execution Strategies with Generalized Price Impact Models


[2]	Trade execution games in a Markovian environment
	arXiv preprint arXiv:2405.07184, 2024

[3]	Revisiting Optimal Execution of Portfolio Transactions: A Dynamic Programming and Reinforcement Learning Approach
	Available at SSRN 4508553, 2023

[4]	Optimal Pair–Trade Execution with Generalized Cross–Impact
	Asia-Pacific Financial Markets, 2022

[5]	Discrete-time optimal execution under a generalized price impact model with Markovian exogenous orders
	International Journal of …, 2021

[6]	Limit Order Book Dynamics with Large Executions (Financial Modeling and Analysis)
	数理解析研究所講究録, 2021

[7]	Optimal pair-trade execution with generalized cross-impact
	2021

[8]	TWAP 戦略を用いたラウンド・トリップ取引
	2020

[9]	Research on the Effects of Institutional Liquidation Strategies on the Market Based on Multi-agent Model
	2020

[10]	Discrete–Time Optimal Execution Under a Generalized Price Impact Model With Markovian Exogenous Orders
	2020

[11]	金融市場における価格インパクトを考慮した取引執行ゲーム
	… Communications of the Operations Research Society …, 2020

[12]	Optimal and equilibrium execution strategies with generalized price impact
	2019

[13]	Equilibrium execution strategies with generalized price impacts (Financial Modeling and Analysis)
	2019

[14]	Optimal Execution Strategies with Generalized Price Impact Models (Decision making theories under uncertainty and its applications: the extensions of …
	2018

[15]	Optimal Off-Exchange Execution with Closing Price
	2016

[1]	Trade Execution Games in a Markovian Environment SSRN Electronic Journal, 2024 DOI:10.2139/ssrn.4818028

[2]	Machine Learning Approaches in Financial Analytics Intelligent Systems Reference Library, 2024 DOI:10.1007/978-3-031-61037-0_1

[3]	Revisiting Optimal Execution of Portfolio Transactions: A Dynamic Programming and Reinforcement Learning Approach SSRN Electronic Journal, 2023 DOI:10.2139/ssrn.4508553

[4]	Optimal Pair–Trade Execution with Generalized Cross–Impact Asia-Pacific Financial Markets, 2022 DOI:10.1007/s10690-021-09349-1

[5]	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

[6]	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

[7]	Optimal and equilibrium execution strategies with generalized price impact Quantitative Finance, 2020 DOI:10.1080/14697688.2020.1749294

[8]	Discrete–Time Optimal Execution Under a Generalized Price Impact Model With Markovian Exogenous Orders SSRN Electronic Journal , 2020 DOI:10.2139/ssrn.3714066

[9]	Optimal and Equilibrium Execution Strategies with Generalized Price Impact SSRN Electronic Journal , 2019 DOI:10.2139/ssrn.3323335

[10]	Optimal Off-Exchange Execution with Closing Price Journal of Mathematical Finance, 2017 DOI:10.4236/jmf.2017.71003

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