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A Bayesian viewpoint on the price formation process. (2021). Derchu, Joffrey.
In: Papers.
RePEc:arx:papers:2012.15705.

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  1. Alfonsi, A. and Blanc, P. (2016). Dynamic optimal execution in a mixedmarket -impact hawkes price model. Finance and Stochastics, 20.

  2. Almgren, R. and Chriss, N. (1999). Value under liquidation. Risk, 12:61– 63.
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  3. Almgren, R., Thum, C. K., Hauptmann, E., and Li, H. (2005). Direct estimation of equity market impact. Risk.
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  2. Optimal Execution in Intraday Energy Markets under Hawkes Processes with Transient Impact. (2025). Karbach, Sven ; Chatziandreou, Konstantinos.
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  3. Self-exciting price impact via negative resilience in stochastic order books. (2024). Ackermann, Julia ; Urusov, Mikhail ; Kruse, Thomas.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-04973-0.

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  4. Clearing time randomization and transaction fees for auction market design. (2024). Xu, Tianrui ; Mastrolia, Thibaut.
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  5. Optimal execution and speculation with trade signals. (2024). Bank, Peter ; Korber, Laura ; 'Alvaro Cartea, .
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  6. An Optimal Control Strategy for Execution of Large Stock Orders Using LSTMs. (2023). Krishnamurthy, P ; Fu, H ; Khorrami, F ; Healy, B ; Papanicolaou, A.
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  7. A Mean-Field Control Problem of Optimal Portfolio Liquidation with Semimartingale Strategies. (2023). Xia, Xiaonyu ; Horst, Ulrich ; Fu, Guanxing.
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  8. On Parametric Optimal Execution and Machine Learning Surrogates. (2023). Chen, Tao ; Voss, Moritz ; Ludkovski, Mike.
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  9. Optimal liquidation under indirect price impact with propagator. (2023). Dupret, Jean-Loup ; Hainaut, Donatien.
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  11. Optimal liquidation problem in illiquid markets. (2022). Sadoghi, Amirhossein ; Vecer, Jan.
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  12. Optimal liquidation problem in illiquid markets. (2022). Vecer, Jan ; Sadoghi, Amirhossein.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:296:y:2022:i:3:p:1050-1066.

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  14. Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events. (2021). Fosset, Antoine ; Benzaquen, Michael ; Bouchaud, Jean-Philippe.
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  15. A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy. (2021). Malevergne, Yannick ; DA FONSECA, José.
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  17. A Bayesian viewpoint on the price formation process. (2021). Derchu, Joffrey.
    In: Papers.
    RePEc:arx:papers:2012.15705.

    Full description at Econpapers || Download paper

  18. Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events. (2020). Benzaquen, Michael ; Bouchaud, Jean-Philippe ; Fosset, Antoine.
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  19. Portfolio Liquidation Games with Self-Exciting Order Flow. (2020). Xia, Xiaonyu ; Horst, Ulrich ; Fu, Guanxing.
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  20. Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events. (2020). Benzaquen, Michael ; Bouchaud, Jean-Philippe ; Fosset, Antoine.
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  21. Optimal market making with persistent order flow. (2020). Jusselin, Paul.
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  22. Portfolio liquidation under transient price impact -- theoretical solution and implementation with 100 NASDAQ stocks. (2019). Chen, Ying ; Horst, Ulrich ; Tran, Hoang Hai.
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  23. Optimal trading using signals. (2018). LEHALLE, Charles-Albert ; de March, Hadrien.
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  24. Hybrid marked point processes: characterisation, existence and uniqueness. (2018). Pakkanen, Mikko S ; Morariu-Patrichi, Maxime.
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  25. Correlation and Lead–Lag Relationships in a Hawkes Microstructure Model. (2017). DA FONSECA, José ; Zaatour, Riadh.
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  26. A buffer Hawkes process for limit order books. (2017). Caglar, Mine ; Kaj, Ingemar.
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  27. Exploring the dynamics of financial markets: from stock prices to strategy returns. (2016). Borland, Lisa.
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