Optimal execution with nonlinear impact functions and trading-enhanced risk

By Robert Almgren. 2003

451 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f93c86a40e38465762397b66bea99ceaec6fdf94

How researchers see this paper

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

In Economics and Econometrics

In Finance

Citations in the corpus

Direct Estimation of Equity Market Impact (2005, methodology): “The transaction cost model embedded in our analysis is based on the model presented by Almgren and Chriss (2000) with nonlinear extensions from Almgren (2003).”
Optimal execution with non-linear transient market impact (2014, unknown): “As pointed out in Gatheral and Schied (2013), a first generation of market impact models (Bertsimas and Lo 1998, Almgren and Chriss 1999, Almgren and Chriss 2001, Almgren 2003) distinguishes between two impact components.”
PORTFOLIO LIQUIDATION IN DARK POOLS IN CONTINUOUS TIME (2012, methodology): “Several such models have been proposed for classical trading venues, for example, Bertsimas and Lo (1998), Almgren and Chriss (2001), Almgren (2003), Schied and Schöneborn (2009), Alfonsi et al. (2010), Schied et al. (2010), and Obizhaeva and Wang (2013).”
Optimal Basket Liquidation for CARA Investors is Deterministic (2010, unknown): “, Almgren [6], Almgren and Lorenz [9], and the references therein.”
Optimal execution strategies in limit order books with general shape functions (2007, background): “Problems of this type were investigated by Bertsimas and Lo [8], Almgren and Chriss [3, 4], Almgren and Lorenz [5], Obizhaeva and Wang [16], and Schied and Schöneborn [18, 19] to mention only a few.”
Fire‐Sale Spillovers and Systemic Risk (2015, unknown): “Quadratic and non-linear costs have also been used and estimated (Heaton and Lucas, 1996; Hasbrouck and Seppi, 2001; Almgren, 2003; Gârleanu and Pedersen, 2013; Kyle and Obizhaeva, 2016).”
Optimal Trade Execution under Geometric Brownian Motion in the Almgren and Chriss Framework (2011, unknown): “2 The optimal trade execution problem We use the following continuous-time formulation of the market impact model proposed by Almgren and Chriss [2, 3] and Almgren [1].”
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”
Optimal trade execution: A mean quadratic variation approach (2012, methodology): “39 In particular, we offer a new perspective on the Almgren and Chriss (2001) approximation.”
TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS (2012, unknown): “See, e.g., Almgren and Chriss (1999, 2000) and Almgren (2003) for a discussion.”
OPTIMAL TRADE EXECUTION AND PRICE MANIPULATION IN ORDER BOOKS WITH TIME‐VARYING LIQUIDITY (2011, methodology): “First, several models assume an instantaneous price impact, e.g., Bertsimas and Lo (1998), Almgren and Chriss (2001), and Almgren (2003).”
THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING (2010, background): “There is a growing literature on such effects: Bertsimas and Lo (1998), Almgren and Chriss (2001), Almgren (2003), Obizhaeva and Wang (2005), Huberman and Stanzl (2005), Schied and Schöneborn (2007), and other papers referred to therein provide a sample of what is currently known.”