Incorporating order-flow into optimal execution

By Á. Cartea, Sebastian Jaimungal. Mathematics and Financial Economics, 2016

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Data-Driven Market-Making via Model-Free Learning (2020, background): “From the extensive literature on market microstructure, such as [Cartea and Jaimungal, 2016; Spooner et al. , 2018; Cartea et al. , 2018], these are some attributes commonly used to describe the condition of the market and the decision-maker: the imbalance of the book size on both the bid and ask…”
Mean field game of controls and an application to trade crowding (2016, methodology): “The cost function of investor a is similar to the ones used in [Cartea et al., 2015]: it is made of the wealth at T , plus the value of the inventory penalized by a terminal market impact, and minus a running cost quadratic in the inventory: (4) V at := sup ν E ( XaT +Q a T (ST − Aa ·QaT )− φa ∫ T…”