TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS

By Jim Gatheral, Alexander Schied, Alla Slynko. 2012

182 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/08961ca542cf45a3fe1f825f3b9006a041ce5e12

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Citations in the corpus

Optimal execution with non-linear transient market impact (2014, background): “In the case of linear instantaneous market impact [23, 5, 19], the problem has been completely solved by showing that the cost minimization problem is equivalent to solving an integral equation.”
The short-term price impact of trades is universal (2017, background): “…such models using public time series with anonymous orders, and deduce the average lag-dependent impact (or propagator) of market orders, with the hope of using this information to anticipate one’s own market impact in future trading, and of timing executions accordingly (Gatheral et al., 2012).”
A probabilistic weak formulation of mean field games and applications (2013, background): “. The latter model is highly tractable, modeling a ﬂat order book from which each agent must execute a ﬁxed order. We instead model a nonlinear order book and use fairly general reward functions. See [1, 20] for a discussion of order book mechanics as well as a discussion of resilience, a concept we”
Hawkes processes and their applications to finance: a review (2018, background): “Alfonsi and Blanc (2016a) combined a price impact model, see for example Gatheral et al. (2012), with consideration of other liquidity takers, whose flow of orders is driven by a Hawkes process.”
Beyond the Square Root: Evidence for Logarithmic Dependence of Market Impact on Size and Participation Rate (2014, unknown): “[29] obtained the optimal condition and derived the explicit form of the optimal strategy in a expected cost minimisation problem.”
Incorporating order-flow into optimal execution (2016, unknown): “In this setup the impact of the MO is temporary and only affects the price received by the trader who sent the MO, and, moreover, the LOB recovers infinitely fast to its state previous to the arrival of the MO, see [1,2,19,21,24,26] for further discussions and generalizations to relax the resilience”