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1. High-dimensional statistical arbitrage with factor models and stochastic control. (2021). Guijarro-Ordonez, Jorge.
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2. Portfolio Choice with Small Temporary and Transient Price Impact. (2020). Muhle-Karbe, Johannes ; Ekren, Ibrahim.
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3. Periodic strategies in optimal execution with multiplicative price impact. (2018). Moreno-Franco, Harold A ; Hern, Daniel .
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4. OPTIMAL TRADING STRATEGIES WITH LIMIT ORDERS. (2017). Agliardi, Rossella ; Genay, Ramazan.
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5. Order Flows and Limit Order Book Resiliency on the Meso-Scale. (2017). Ludkovski, Michael ; Bechler, Kyle .
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6. High-frequency limit of Nash equilibria in a market impact game with transient price impact. (2017). Zhang, Tao ; Strehle, Elias ; Schied, Alexander.
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7. Liquidity Effects of Trading Frequency. (2017). Nadtochiy, Sergey ; Gayduk, Roman.
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8. Optimal Asset Liquidation with Multiplicative Transient Price Impact. (2017). Bilarev, Todor ; Frentrup, Peter ; Becherer, Dirk.
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9. Rebalancing with Linear and Quadratic Costs. (2017). Liu, Ren ; Weber, Marko ; Muhle-Karbe, Johannes.
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10. A market impact game under transient price impact. (2017). Zhang, Tao ; Schied, Alexander.
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11. Optimal Trading with Linear and (small) Non-Linear Costs. (2016). Benichou, R ; de Lataillade, J ; Rej, A.
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12. Hedging with Temporary Price Impact. (2016). Bank, Peter ; Voss, Moritz ; Soner, Mete.
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13. Simultaneous Trading in Lit and Dark Pools. (2016). Macrina, Andrea ; Crisafi, Alessandra M..
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14. Optimal Position Management for a Market Maker with Stochastic Price Impacts. (2015). Fujii, Masaaki.
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15. Financial Transaction Tax: Policy Analytics Based on Optimal Trading. (2015). Yu, Min-Teh ; Sun, Edward ; Kruse, Timm.
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16. Do Shareholder Coalitions Modify Dominant Owners Control? The Impact On Dividend Policy. (2015). López-Iturriaga, Félix ; Lopez-Iturriaga, Felix J. ; Santana-Martin, Domingo Javier.
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17. Trading price jump clusters in foreign exchange markets. (2015). Urga, Giovanni ; Novotn, Jan ; Petrov, Dmitri.
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18. Optimal order display in limit order markets with liquidity competition. (2015). Horst, Ulrich ; Cebirolu, Gokhan.
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19. The Impact of Large Orders in Electronic Markets. (2015). Pinna, Andrea ; Murgia, Maurizio ; Gottardo, P ; Bosetti, L.
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20. Optimal Position Management for a Market Maker with Stochastic Price Impacts. (2015). Fujii, Masaaki.
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21. Extension and calibration of a Hawkes-based optimal execution model. (2015). Blanc, Pierre ; Alfonsi, Aur'Elien.
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22. An explicit solution for optimal investment in Heston model. (2015). Boguslavskaya, Elena ; Muravey, Dmitry.
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23. A dynamic optimal execution strategy under stochastic price recovery. (2015). Ieda, Masashi.
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24. Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2015). Blanc, Pierre ; Alfonsi, Aur'Elien.
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25. Trading with Small Price Impact. (2015). Soner, Mete H. ; Moreau, Ludovic ; Muhle-Karbe, Johannes.
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26. Multivariate transient price impact and matrix-valued positive definite functions. (2015). Klock, Florian ; Alfonsi, Aur'Elien ; Schied, Alexander.
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27. Hedging Market Risk in Optimal Liquidation. (2014). Monin, Phillip.
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28. On Linearity Of Transaction Costs In Order Driven Market. (2014). Andreev, Nikolay.
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29. Dynamic optimal execution in a mixed-market-impact Hawkes price model. (2014). Blanc, Pierre ; Alfonsi, Aurelien.
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30. The Impact of Large Orders in Electronic Markets. (2014). Pinna, Andrea ; Murgia, Maurizio ; Gottardo, Pietro ; Bosetti, Luisella.
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31. Optimal execution with nonlinear transient market impact. (2014). Gatheral, Jim ; Curato, Gianbiagio ; Lillo, Fabrizio.
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32. High-Resilience Limits of Block-Shaped Order Books. (2014). Muhle-Karbe, Johannes ; Kallsen, Jan.
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33. An Optimal Execution Problem with a Geometric Ornstein-Uhlenbeck Price Process. (2014). Kato, Takashi.
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34. Rebuilding the limit order book: sequential Bayesian inference on hidden states. (2013). Godsill, Simon J. ; Hill, Simon I. ; Turner, Richard E. ; Christensen, Hugh L..
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35. Limit order books. (2013). Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D. ; McDonald, Mark ; Fenn, Daniel J. ; Williams, Stacy.
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36. Drift dependence of optimal trade execution strategies under transient price impact. (2013). Lorenz, Christopher ; Schied, Alexander.
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37. The gateway to the profession: Assessing teacher preparation programs based on student achievement. (2013). Liddle, Stephanie ; Theobald, Roddy ; Goldhaber, Dan.
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38. Economic Modeling for Optimal Trading of Financial Asset in Volatile Market. (2013). Sun, Edward ; Kruse, Timm.
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39. A Monte Carlo method for optimal portfolio executions. (2013). Achtsis, Nico ; Nuyens, Dirk.
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40. Probabilistic aspects of finance. (2013). Follmer, Hans ; Schied, Alexander.
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41. A Pre-Trade Algorithmic Trading Model under Given Volume Measures and Generic Price Dynamics (GVM-GPD). (2013). Shen, Jackie.
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42. Limit Order Books. (2013). Williams, Stacy ; Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D. ; McDonald, Mark ; Fenn, Daniel J..
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43. Optimal Portfolio Liquidation with Limit Orders. (2012). LEHALLE, Charles-Albert ; Olivier Gu'eant, ; Tapia, Joaquin Fernandez .
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44. Optimal execution strategies in limit order books with general shape functions. (2010). Schied, Alexander ; Alfonsi, Aur'Elien ; Schulz, Antje .
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45. Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. (2009). Schied, Alexander ; Schöneborn, Torsten ; Schoneborn, Torsten.
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46. Dynamic Trading with Predictable Returns and Transaction Costs. (2009). Pedersen, Lasse ; Garleanu, Nicolae B..
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47. Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. (2008). Schied, Alexander ; Schöneborn, Torsten ; Schoeneborn, Torsten .
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48. Illiquidity and Derivative Valuation. (2008). Horst, Ulrich ; Naujokat, Felix.
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49. Escaping the Brownian stalkers. (2008). Weiss, Alexander.
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50. Optimal Portfolio Liquidation for CARA Investors. (2007). Schied, Alexander ; Schöneborn, Torsten ; Schoneborn, Torsten.
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