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1. The QLBS Model within the presence of feedback loops through the impacts of a large trader. (2023). Uugur, Omur ; Ozsoy, Ahmet Umur.
   In: Papers.
   RePEc:arx:papers:2311.06790.

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2. Is optimum always optimal? A revisit of the mean‐variance method under nonlinear measures of dependence and non‐normal liquidity constraints. (2021). , Mazin.
   In: Journal of Forecasting.
   RePEc:wly:jforec:v:40:y:2021:i:3:p:387-415.

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3. Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case. (2021). Bayraktar, Erhan ; Caye, Thomas ; Ekren, Ibrahim.
   In: Mathematical Finance.
   RePEc:bla:mathfi:v:31:y:2021:i:1:p:36-108.

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4. Optimal investment, derivative demand, and arbitrage under price impact. (2021). Anthropelos, Michail ; Robertson, Scott ; Spiliopoulos, Konstantinos.
   In: Mathematical Finance.
   RePEc:bla:mathfi:v:31:y:2021:i:1:p:3-35.

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5. Fractal dynamics and wavelet analysis: Deep volatility and return properties of Bitcoin, Ethereum and Ripple. (2020). Gurdgiev, Constantin ; Corbet, Shaen ; Celeste, Valerio.
   In: The Quarterly Review of Economics and Finance.
   RePEc:eee:quaeco:v:76:y:2020:i:c:p:310-324.

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6. Asymptotics for Small Nonlinear Price Impact: a PDE Approach to the Multidimensional Case. (2020). Bayraktar, Erhan ; Caye, Thomas ; Ekren, Ibrahim.
   In: Papers.
   RePEc:arx:papers:1811.06650.

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7. Portfolio Choice with Small Temporary and Transient Price Impact. (2020). Muhle-Karbe, Johannes ; Ekren, Ibrahim.
   In: Papers.
   RePEc:arx:papers:1705.00672.

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8. Pricing European Options in a Discrete Time Model for the Limit Order Book. (2019). Simard, Clarence ; Remillard, Bruno.
   In: Methodology and Computing in Applied Probability.
   RePEc:spr:metcap:v:21:y:2019:i:3:d:10.1007_s11009-017-9610-3.

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9. Nonconcave robust optimization with discrete strategies under Knightian uncertainty. (2019). Iki, Mario ; Neufeld, Ariel.
   In: Mathematical Methods of Operations Research.
   RePEc:spr:mathme:v:90:y:2019:i:2:d:10.1007_s00186-019-00669-7.

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10. Nonconcave Robust Optimization with Discrete Strategies under Knightian Uncertainty. (2019). Sikic, Mario ; Neufeld, Ariel.
    In: Papers.
    RePEc:arx:papers:1711.03875.

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11. LOCAL RISK-MINIMIZATION WITH MULTIPLE ASSETS UNDER ILLIQUIDITY WITH APPLICATIONS IN ENERGY MARKETS. (2018). Meyer-Brandis, Thilo ; Christodoulou, Panagiotis ; Detering, Nils.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:21:y:2018:i:04:n:s0219024918500280.

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12. Optimal Investment, Demand and Arbitrage under Price Impact. (2018). Anthropelos, Michail ; Robertson, Scott ; Spiliopoulos, Konstantinos.
    In: Papers.
    RePEc:arx:papers:1804.09151.

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13. Optimal investment with transient price impact. (2018). Bank, Peter ; Voss, Moritz.
    In: Papers.
    RePEc:arx:papers:1804.07392.

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14. Local risk-minimization with multiple assets under illiquidity with applications in energy markets. (2018). Meyer-Brandis, Thilo ; Christodoulou, Panagiotis ; Detering, Nils.
    In: Papers.
    RePEc:arx:papers:1705.06918.

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15. Stability for gains from large investors strategies in M1/J1 topologies. (2018). Bilarev, Todor ; Frentrup, Peter ; Becherer, Dirk.
    In: Papers.
    RePEc:arx:papers:1701.02167.

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16. A String Model of Liquidity in Financial Markets. (2018). Zhao, Ran ; Schellhorn, Henry.
    In: Papers.
    RePEc:arx:papers:1608.05900.

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17. 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.

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18. OPTIMAL EXECUTION COST FOR LIQUIDATION THROUGH A LIMIT ORDER MARKET. (2016). Ly, Vathana ; Scotti, Simone ; Chevalier, Etienne ; Roch, Alexandre.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:19:y:2016:i:01:n:s0219024916500047.

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19. Utility maximization in an illiquid market in continuous time. (2016). Vukelja, Mirjana ; Soner, Mete H.
    In: Mathematical Methods of Operations Research.
    RePEc:spr:mathme:v:84:y:2016:i:2:d:10.1007_s00186-016-0544-2.

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20. Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios. (2016). Nguyen, Duc Khuong ; Arreola Hernandez, Jose ; Berger, Theo.
    In: MPRA Paper.
    RePEc:pra:mprapa:84626.

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21. Optimal Position Management for a Market Maker with Stochastic Price Impacts. (2015). Fujii, Masaaki.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2015cf963.

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22. Complex Model of Market Price Development and its Simulation. (2015). Stádník, Bohumil ; Stdnk, Bohumil ; Mieinskien, Algita.
    In: Journal of Business Economics and Management.
    RePEc:taf:jbemgt:v:16:y:2015:i:4:p:786-807.

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23. Optimal Position Management for a Market Maker with Stochastic Price Impacts. (2015). Fujii, Masaaki.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf360.

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24. Optimal Position Management for a Market Maker with Stochastic Price Impacts. (2015). Fujii, Masaaki.
    In: Papers.
    RePEc:arx:papers:1503.07007.

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25. Trading with Small Price Impact. (2015). Soner, Mete H. ; Moreau, Ludovic ; Muhle-Karbe, Johannes.
    In: Papers.
    RePEc:arx:papers:1402.5304.

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26. Fractal markets: Liquidity and investors on different time horizons. (2014). Nishimura, Yusaku ; Men, Ming ; Li, Da-Ye .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:407:y:2014:i:c:p:144-151.

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27. High-Resilience Limits of Block-Shaped Order Books. (2014). Muhle-Karbe, Johannes ; Kallsen, Jan.
    In: Papers.
    RePEc:arx:papers:1409.7269.

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28. Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence. (2013). Krištoufek, Ladislav.
    In: Papers.
    RePEc:arx:papers:1310.1446.

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