create a website

Market Impact Paradoxes. (2013). Skachkov, Igor .
In: Papers.
RePEc:arx:papers:1312.3349.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 21

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Alfonsi, A., Schied, A. & Slynko, A. (2012), Order book resilience, price manipulation, and the positive portfolio problem, SIAM J. Financial Math. 3, 511533.

  2. Almgren R. and N. Chriss (2001) Optimal Execution of Portfolio Transactions, Journal of Risk, 3(2), 5–40.
    Paper not yet in RePEc: Add citation now
  3. Almgren, R., Thum, C., Hauptmann, E. & Li, H. (2005), Direct estimation of equity market impact, Risk 18(7), 5862
    Paper not yet in RePEc: Add citation now

  4. Almgren, Robert, 2003, Optimal execution with nonlinear impact functions and trading enhanced risk, Applied Mathematical Finance 10, 118.

  5. Bershova, Nataliya and Rakhlin, Dmitry, The Non-Linear Market Impact of Large Trades: Evidence from Buy-Side Order Flow (January 7, 2013). Available at SSRN: http://ssrn.com/abstract=2197534 or http://dx.doi.org/10.2139/ssrn.2197534

  6. Bouchaud, Jean-Philippe, Julien Kockelkoren, and Marc Potters, 2006, Random walks, liquidity molasses and critical response in financial markets, Quantitative Finance 6, 115123.
    Paper not yet in RePEc: Add citation now

  7. Bouchaud, Jean-Philippe, Yuval Gefen, Marc Potters, and Matthieu Wyart, 2004, Fluctuations and response in financial markets: the subtle nature of random price changes, Quantitative Finance 4, 176190.

  8. Carslaw H.S. and J.C. Jaeger, (2000), Conduction of Heat in Solids, Reprint of the second edition, 1959, Clarendon Press.
    Paper not yet in RePEc: Add citation now

  9. Cont, Rama and Kukanov, Arseniy and Stoikov, Sasha, The Price Impact of Order Book Events (April 30, 2012). Cont, Rama, Arseniy Kukanov, and Sasha Stoikov. The Price Impact of Order Book Events. Journal of Financial Econometrics (2013).. Available at SSRN: http://ssrn.com/abstract=1712822 or http://dx.doi.org/10.2139/ssrn.1712822

  10. Gatheral J. No-Dynamic-Arbitrage and Market Impact Quantitative Finance, Vol. 10, No. 7, pp. 749-759, 2010

  11. Gatheral J., Schied A. (2013) Dynamical models of market impact and algorithms for order execution. Preprint. URL: http://ssrn.com/abstract=2034178
    Paper not yet in RePEc: Add citation now

  12. Gerig, Austin Nathaniel, 2007, A theory for market impact: How order flow affects stock price, Ph.D. thesis University of Illinois at Urbana- Champaign.

  13. Grinold Richard, and Kahn Ronald, 1999, Active Portfolio Management, McGraw-Hill, New York.
    Paper not yet in RePEc: Add citation now
  14. Horn R.N., (1995), Modern Well Test Analysis. Second edition, 2008, Petroway, Inc.
    Paper not yet in RePEc: Add citation now

  15. Huberman, Gur, and Stanzl, Werner, 2004, Price manipulation and quasiarbitrage, Econometrica 72, 12471275.

  16. Kim, Soohun and Murphy, Dermot, The Impact of High-Frequency Trading on Stock Market Liquidity Measures,(June 1, 2013). Available at SSRN: http://ssrn.com/abstract=2278428 or http://dx.doi.org/10.2139/ssrn.2278428
    Paper not yet in RePEc: Add citation now

  17. Kyle, Albert S. Continuous Auctions and Insider Trading Econometrica, Vol. 53, No. 6. (Nov., 1985), pp. 1315-1336.

  18. Obizhaeva, Anna and Wang, Jiang, 2005 Optimal trading strategy and supply/demand dynamics. MIT working paper

  19. Skachkov Igor, March 2002, Black-Scholes Equation in Laplace Transform Domain, Technical Articles on www.wilmott.com. http://ssrn.com/abstract=2262031
    Paper not yet in RePEc: Add citation now
  20. Skachkov, Igor, 2010, Optimal Execution: Linear Market Impact with Exponential Decay, 2010. Available at SSRN: http://ssrn.com/abstract=2283027 or http://dx.doi.org/10.2139/ssrn.2283027
    Paper not yet in RePEc: Add citation now
  21. Toth, Bence, Eisler, Zoltan, Lillo, Fabrizio, Bouchaud , Jean-Philippe , Kockelkoren, Julien and Farmer, J. Doyne, How Does the Market React to Your Order Flow? (April 4, 2011). Available at SSRN: http://ssrn.com/abstract=1803398 or http://dx.doi.org/10.2139/ssrn.1803398
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Constructing Optimal Portfolio Rebalancing Strategies with a Two-Stage Multiresolution-Grid Model. (2024). Wu, Mu-En ; Yang, Dong-Yuh ; Sun, You-Jia ; Chen, Bo-Jen ; Dai, Tian-Shyr.
    In: Computational Economics.
    RePEc:kap:compec:v:64:y:2024:i:5:d:10.1007_s10614-024-10555-y.

    Full description at Econpapers || Download paper

  2. Nonnegativity preserving convolution kernels. Application to Stochastic Volterra Equations in closed convex domains and their approximation. (2024). Alfonsi, Aur'Elien.
    In: Papers.
    RePEc:arx:papers:2302.07758.

    Full description at Econpapers || Download paper

  3. Unwinding Stochastic Order Flow: When to Warehouse Trades. (2023). Nutz, Marcel ; Zhao, Long ; Webster, Kevin.
    In: Papers.
    RePEc:arx:papers:2310.14144.

    Full description at Econpapers || Download paper

  4. Mean-Field Liquidation Games with Market Drop-out. (2023). Horst, Ulrich ; Hager, Paul P ; Fu, Guanxing.
    In: Papers.
    RePEc:arx:papers:2303.05783.

    Full description at Econpapers || Download paper

  5. Reducing Obizhaeva-Wang type trade execution problems to LQ stochastic control problems. (2023). Kruse, Thomas ; Urusov, Mikhail ; Ackermann, Julia.
    In: Papers.
    RePEc:arx:papers:2206.03772.

    Full description at Econpapers || Download paper

  6. Portfolio Liquidation Games with Self-Exciting Order Flow. (2022). Xia, Xiaonyu ; Horst, Ulrich ; Fu, Guanxing.
    In: Rationality and Competition Discussion Paper Series.
    RePEc:rco:dpaper:327.

    Full description at Econpapers || Download paper

  7. Market Impact: Empirical Evidence, Theory and Practice. (2022). Said, Emilio.
    In: Working Papers.
    RePEc:hal:wpaper:hal-03668669.

    Full description at Econpapers || Download paper

  8. Portfolio liquidation games with self‐exciting order flow. (2022). Xia, Xiaonyu ; Horst, Ulrich ; Fu, Guanxing.
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:32:y:2022:i:4:p:1020-1065.

    Full description at Econpapers || Download paper

  9. Market Impact: Empirical Evidence, Theory and Practice. (2022). Said, Emilio.
    In: Papers.
    RePEc:arx:papers:2205.07385.

    Full description at Econpapers || Download paper

  10. Self-exciting price impact via negative resilience in stochastic order books. (2022). Kruse, Thomas ; Urusov, Mikhail ; Ackermann, Julia.
    In: Papers.
    RePEc:arx:papers:2112.03789.

    Full description at Econpapers || Download paper

  11. Instabilities in Multi-Asset and Multi-Agent Market Impact Games. (2021). Cordoni, Francesco ; Lillo, Fabrizio.
    In: Papers.
    RePEc:arx:papers:2004.03546.

    Full description at Econpapers || Download paper

  12. Optimal liquidation trajectories for the Almgren-Chriss model. (2020). Xu, Junwei ; Lokka, A.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:106977.

    Full description at Econpapers || Download paper

  13. Optimal execution with liquidity risk in a diffusive order book market. (2020). Lee, Kiseop.
    In: Papers.
    RePEc:arx:papers:2004.10951.

    Full description at Econpapers || Download paper

  14. Equilibrium Model of Limit Order Books: A Mean-field Game View. (2020). Ma, Jin ; Noh, Eunjung.
    In: Papers.
    RePEc:arx:papers:2002.12857.

    Full description at Econpapers || Download paper

  15. Optimal liquidation for a risk averse investor in a one-sided limit order book driven by a Levy process. (2020). Xu, Junwei ; Lokka, Arne.
    In: Papers.
    RePEc:arx:papers:2002.03379.

    Full description at Econpapers || Download paper

  16. Optimal liquidation trajectories for the Almgren-Chriss model with Levy processes. (2020). Xu, Junwei ; Lokka, Arne.
    In: Papers.
    RePEc:arx:papers:2002.03376.

    Full description at Econpapers || Download paper

  17. The self-financing equation in limit order book markets. (2019). Carmona, Rene ; Webster, Kevin.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:23:y:2019:i:3:d:10.1007_s00780-019-00398-z.

    Full description at Econpapers || Download paper

  18. Incorporating signals into optimal trading. (2019). LEHALLE, Charles-Albert ; Neuman, Eyal.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:23:y:2019:i:2:d:10.1007_s00780-019-00382-7.

    Full description at Econpapers || Download paper

  19. A Market Impact Game Under Transient Price Impact. (2019). Zhang, Tao ; Schied, Alexander.
    In: Mathematics of Operations Research.
    RePEc:inm:ormoor:v:44:y:2019:i:1:p:102-121.

    Full description at Econpapers || Download paper

  20. Applications of a New Self-Financing Equation. (2019). Carmona, Rene ; Webster, Kevin.
    In: Papers.
    RePEc:arx:papers:1905.04137.

    Full description at Econpapers || Download paper

  21. Optimal VWAP execution under transient price impact. (2019). Lillo, Fabrizio ; Barzykin, Alexander.
    In: Papers.
    RePEc:arx:papers:1901.02327.

    Full description at Econpapers || Download paper

  22. Nash equilibrium for risk-averse investors in a market impact game with transient price impact. (2019). Luo, Xiangge ; Schied, Alexander.
    In: Papers.
    RePEc:arx:papers:1807.03813.

    Full description at Econpapers || Download paper

  23. Optimal position targeting via decoupling fields. (2018). Kruse, Thomas ; Ankirchner, Stefan ; Popier, Alexandre ; Fromm, Alexander.
    In: Working Papers.
    RePEc:hal:wpaper:hal-01500311.

    Full description at Econpapers || Download paper

  24. On the minimizers of energy forms with completely monotone kernel. (2018). Strehle, Elias ; Schied, Alexander.
    In: Papers.
    RePEc:arx:papers:1706.04844.

    Full description at Econpapers || Download paper

  25. Incorporating Signals into Optimal Trading. (2018). LEHALLE, Charles-Albert ; Neuman, Eyal.
    In: Papers.
    RePEc:arx:papers:1704.00847.

    Full description at Econpapers || Download paper

  26. Hedging and pricing illiquid options with market impacts. (2017). Saito, Taiga.
    In: International Journal of Financial Engineering (IJFE).
    RePEc:wsi:ijfexx:v:04:y:2017:i:02n03:n:s242478631750030x.

    Full description at Econpapers || Download paper

  27. Optimal execution with non-linear transient market impact. (2017). Gatheral, Jim ; Curato, Gianbiagio ; Lillo, Fabrizio.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:17:y:2017:i:1:p:41-54.

    Full description at Econpapers || Download paper

  28. Order Flows and Limit Order Book Resiliency on the Meso-Scale. (2017). Ludkovski, Michael ; Bechler, Kyle .
    In: Papers.
    RePEc:arx:papers:1708.02715.

    Full description at Econpapers || Download paper

  29. Cross-impact and no-dynamic-arbitrage. (2017). Schneider, Michael ; Lillo, Fabrizio.
    In: Papers.
    RePEc:arx:papers:1612.07742.

    Full description at Econpapers || Download paper

  30. Optimal Liquidation under Stochastic Liquidity. (2017). Bilarev, Todor ; Frentrup, Peter ; Becherer, Dirk.
    In: Papers.
    RePEc:arx:papers:1603.06498.

    Full description at Econpapers || Download paper

  31. High-frequency limit of Nash equilibria in a market impact game with transient price impact. (2017). Zhang, Tao ; Strehle, Elias ; Schied, Alexander.
    In: Papers.
    RePEc:arx:papers:1509.08281.

    Full description at Econpapers || Download paper

  32. Optimal Asset Liquidation with Multiplicative Transient Price Impact. (2017). Bilarev, Todor ; Frentrup, Peter ; Becherer, Dirk.
    In: Papers.
    RePEc:arx:papers:1501.01892.

    Full description at Econpapers || Download paper

  33. A market impact game under transient price impact. (2017). Zhang, Tao ; Schied, Alexander.
    In: Papers.
    RePEc:arx:papers:1305.4013.

    Full description at Econpapers || Download paper

  34. Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2016). Blanc, Pierre ; Alfonsi, Aurelien.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:20:y:2016:i:1:p:183-218.

    Full description at Econpapers || Download paper

  35. Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2016). Blanc, Pierre ; Alfonsi, Aurelien.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:20:y:2016:i:1:d:10.1007_s00780-015-0282-y.

    Full description at Econpapers || Download paper

  36. Multivariate Transient Price Impact and Matrix-Valued Positive Definite Functions. (2016). Klock, Florian ; Alfonsi, Aurelien ; Schied, Alexander.
    In: Mathematics of Operations Research.
    RePEc:inm:ormoor:v:41:y:2016:i:3:p:914-934.

    Full description at Econpapers || Download paper

  37. The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making. (2016). Guéant, Olivier ; Gueant, Olivier.
    In: Post-Print.
    RePEc:hal:journl:hal-01393136.

    Full description at Econpapers || Download paper

  38. Extension and calibration of a Hawkes-based optimal execution model. (2015). Blanc, Pierre ; Alfonsi, Aur'Elien.
    In: Papers.
    RePEc:arx:papers:1506.08740.

    Full description at Econpapers || Download paper

  39. Dynamics of Order Positions and Related Queues in a Limit Order Book. (2015). Ruan, Zhao ; Guo, Xin ; Zhu, Lingjiong.
    In: Papers.
    RePEc:arx:papers:1505.04810.

    Full description at Econpapers || Download paper

  40. Facilitation and Internalization Optimal Strategy in a Multilateral Trading Context. (2015). Li, Qinghua.
    In: Papers.
    RePEc:arx:papers:1404.7320.

    Full description at Econpapers || Download paper

  41. Multivariate transient price impact and matrix-valued positive definite functions. (2015). Klock, Florian ; Alfonsi, Aur'Elien ; Schied, Alexander.
    In: Papers.
    RePEc:arx:papers:1310.4471.

    Full description at Econpapers || Download paper

  42. Optimal liquidation in dark pools. (2014). Schöneborn, Torsten ; Schoneborn, Torsten ; Kratz, Peter.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:14:y:2014:i:9:p:1519-1539.

    Full description at Econpapers || Download paper

  43. An optimal execution problem with market impact. (2014). Kato, Takashi.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:18:y:2014:i:3:p:695-732.

    Full description at Econpapers || Download paper

  44. Hedging Market Risk in Optimal Liquidation. (2014). Monin, Phillip.
    In: Working Papers.
    RePEc:ofr:wpaper:14-08.

    Full description at Econpapers || Download paper

  45. Optimal Execution with Dynamic Order Flow Imbalance. (2014). Ludkovski, Mike ; Bechler, Kyle .
    In: Papers.
    RePEc:arx:papers:1409.2618.

    Full description at Econpapers || Download paper

  46. Price manipulation in a market impact model with dark pool. (2014). Sun, Yuemeng ; Klock, Florian ; Schied, Alexander.
    In: Papers.
    RePEc:arx:papers:1205.4008.

    Full description at Econpapers || Download paper

  47. Drift dependence of optimal trade execution strategies under transient price impact. (2013). Lorenz, Christopher ; Schied, Alexander.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:17:y:2013:i:4:p:743-770.

    Full description at Econpapers || Download paper

  48. A Monte Carlo method for optimal portfolio executions. (2013). Achtsis, Nico ; Nuyens, Dirk.
    In: Papers.
    RePEc:arx:papers:1312.5919.

    Full description at Econpapers || Download paper

  49. Market Impact Paradoxes. (2013). Skachkov, Igor .
    In: Papers.
    RePEc:arx:papers:1312.3349.

    Full description at Econpapers || Download paper

  50. Probabilistic aspects of finance. (2013). Follmer, Hans ; Schied, Alexander.
    In: Papers.
    RePEc:arx:papers:1309.7759.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-10-05 20:26:03 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.