A Hamilton-Jacobi-Bellman approach to optimal trade execution

74 citations recorded by the source corpus.

How researchers see this paper

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

Robust Strategies for Optimal Order Execution in the Almgren–Chriss Framework (2012, methodology): “following multiplicative price impact model, Sex t := S 0 t exp γxt +ηx˙t , where γ,η ≥ 0. Naturally, this model goes well along with geometric Brownian motion as unaﬀected price process S0; see also Forsyth (2011) and Forsyth et al. (2012). When deﬁning Ce(x) = RT 0 Sex t x˙t dt, one is led to the ”
Optimal trade execution: A mean quadratic variation approach (2012, background): “Nothing in this article should be construed as a recommendation by Morgan Stanley to buy or sell any security of any kind.”