Optimal Trade Execution under Geometric Brownian Motion in the Almgren and Chriss Framework

By Jim Gatheral, Alexander Schied. 2011

210 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/12ab37ed152d23aec1606488cf3b9f59e962010f

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. Christoph Frei
2. Nicholas Westray

Citations in the corpus

• OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH (2015, methodology): “Using an arithmetic as opposed to a geometric Brownian motion in the present setup is possible since we are considering an intraday trading horizon, so that P(t) is negative with an extremely small probability and there are negligible differences between the two models, see Gatheral and Schied (2011”
• Incorporating order-flow into optimal execution (2016, unknown): “In the context of optimal execution the recent work of [6] and [8] employ order-flow information to develop optimal execution models that take into account market impact and informational costs, see also [18] and [9].”
• Robust Strategies for Optimal Order Execution in the Almgren–Chriss Framework (2012, unknown): “Its minimization therefore boils down to the minimization of the classical ‘action functional’∫ T 0 exp ( γxt + ηẋt ) (ẋt + λ̃xt) dt over deterministic strategies x ∈ X (T,X); see also Remark 4.1 in Gatheral & Schied (2011).”
• Optimal placement in a limit order book: an analytical approach (2016, unknown): “2 Literature on the optimal execution problem is big and growing rapidly fast, see for instance, Bertsimas and Lo [12], Almgren and Chriss [5,6], Almgren [4], Almgren and Lorenz [7], Schied and Schöneborn [48], Weiss [51], Alfonsi et al. [2,3], Predoiu et al. [44], Schied et al. [49], Gatheral and S”
• Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting (2015, unknown): “In recent years models of optimal portfolio liquidation have been widely developed, see, e.g. [1], [2], [8], [10], [15], or [22], among many others.”