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We analyze novel portfolio liquidation games with self-exciting order flow.
Optimal control of execution costs
D. Bertsimas and A. Lo · 1998
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Optimal execution of portfolio transactions
R. Almgren and N. Chriss · 2001
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Predatory trading
M.K. Brunnermeier and L.H. Pedersen · 2005
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Stationary equilibria in discounted stochastic games with weakly interacting players
U. Horst · 2005
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Episodic liquidity crises: Cooperative and predatory trading
B. Carlin, M. Lobo, and S. Viswanathan · 2007
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Mean-field backward stochastic differential equations and related partial differential equations
R. Buckdahn, J. Li, and S. Peng · 2009
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Continuous-time stochastic control and optimization with financial applications
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Liquidation in the face of adversity: Stealth vs. sunshine trading
A. Schied and T. Schöneborn · 2009
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Optimal trade execution under geometric Brownian motion in the Almgren and Chriss framework
J. Gatheral and A. Schied · 2011
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A two-player price impact game
M. Voß · 2011
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Modelling microstructure noise with mutually exciting point processes
E. Bacry, S. Delattre, M. Hoffmann, and J.F. Muzy · 2013
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BSDEs with singular terminal condition and a control problem with constraints
S. Ankirchner, M. Jeanblanc, and T. Kruse · 2014
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Optimal trade execution and price manipulation in order books with time-varying liquidity
A. Fruth, T. Schöneborn, and M. Urusov · 2014
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When to cross the spread? Trading in two-sided limit order books
U. Horst and F. Naujokat · 2014
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An explicit solution of a nonlinear-quadratic constrained stochastic control problem with jumps: Optimal liquidation in dark pools with adverse selection
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Hawks processes in finance
E. Bacry, S. Delattre, M. Hoffmann, and J.F. Muzy · 2015
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A probabilistic weak formulation of mean field games and applications
R. Carmona and D. Lacker · 2015
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A non-Markovian liquidation problem and backward SPDEs with singular terminal conditions
P. Graewe, U. Horst, and J. Qiu · 2015
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Limit theorems for nearly unstable Hawkes processes
T. Jaisson and M. Rosenbaum · 2015
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Dynamic optimal execution in a mixed-market-impact hawkes price model
A. Alfonsi and P. Blanc · 2016
Smooth solutions to portfolio liquidation problems under price-sensitive market impact
P. Graewe, U. Horst, and E. Séré · 2018
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Optimal execution in a multiplayer model of transient price impact
E. Strehle · 2018
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Price impact of large orders using hawkes processes
L.R. Amaral and A. Papanicolaou · 2019
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An FBSDE approach to market impact games with stochastic parameters
S. Drapeau, P. Luo, A. Schied, and D. Xiong · 2019
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Multidimensional optimal trade execution under stochastic resilience
U. Horst and X. Xia · 2019
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The microstructure of stochastic volatility models with self-exciting jump dynamics
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Liquidation with self-exciting price impact
T. Cayé and J. Muhle-Karbe · 2016
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Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting
T. Kruse and A. Popier · 2016
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Optimal trade exection with instantaneous price impact and stochastic resilience
P. Graewe and U. Horst · 2017
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High-frequency limit of Nash equilibria in a market impact game with transient price impact
A. Schied, E. Strehle, and T. Zhang · 2017
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Linear quadratic stochastic control problems with singular stochastic terminal constraint
P. Bank and M. Voß · 2018
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Mean field game of controls and an application to trade crowding
P. Cardaliaguet and C. Lehalle · 2018
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U. Horst and W. Xu · 2019
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Mean-field game strategies for optimal execution
X. Huang, S. Jaimungal, and M. Nourian · 2019
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Second order BSDE under monotonicity condition and liquidation problem under uncertainty
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A market impact game under transient price impact
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Mean-field games with differing beliefs for algorithmic trading
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On finite population games of optimal trading
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A mean field game of optimal portfolio liquidation
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Mean-field leader-follower games with terminal state constraint
G. Fu and U. Horst · 2020
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Portfolio liquidation under factor uncertainty
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Nash equilibrium for risk-averse investors in a market impact game with transient price impact
X. Luo and A. Schied · 2020
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