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1. Deep learning solution to mean field game of optimal liquidation. (2025). Cheng, Yilin ; Wang, Xinyu ; Qian, Shenghua ; Zhang, Shuhua.
   In: Finance Research Letters.
   RePEc:eee:finlet:v:73:y:2025:i:c:s1544612324016921.

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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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   RePEc:arx:papers:2504.10282.

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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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   RePEc:arx:papers:2405.09764.

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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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   RePEc:arx:papers:2204.08581.

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9. Optimal liquidation under indirect price impact with propagator. (2023). Dupret, Jean-Loup ; Hainaut, Donatien.
   In: LIDAM Discussion Papers ISBA.
   RePEc:aiz:louvad:2023012.

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10. 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.

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11. Optimal liquidation problem in illiquid markets. (2022). Sadoghi, Amirhossein ; Vecer, Jan.
    In: Post-Print.
    RePEc:hal:journl:hal-03696768.

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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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13. 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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    RePEc:hal:journl:halshs-03590382.

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14. Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events. (2021). Fosset, Antoine ; Benzaquen, Michael ; Bouchaud, Jean-Philippe.
    In: Post-Print.
    RePEc:hal:journl:hal-02998555.

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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.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:128:y:2021:i:c:s0165188921000725.

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16. Optimal trading: a model predictive control approach. (2021). Clinet, Simon ; Reydellet, Serge ; Perreton, Jean-Franccois.
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    RePEc:arx:papers:2110.11008.

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

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18. Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events. (2020). Benzaquen, Michael ; Bouchaud, Jean-Philippe ; Fosset, Antoine.
    In: Working Papers.
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19. Portfolio Liquidation Games with Self-Exciting Order Flow. (2020). Xia, Xiaonyu ; Horst, Ulrich ; Fu, Guanxing.
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    RePEc:arx:papers:2011.05589.

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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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    RePEc:arx:papers:2005.05730.

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21. Optimal market making with persistent order flow. (2020). Jusselin, Paul.
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    RePEc:arx:papers:2003.05958.

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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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    RePEc:arx:papers:1811.03718.

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24. Hybrid marked point processes: characterisation, existence and uniqueness. (2018). Pakkanen, Mikko S ; Morariu-Patrichi, Maxime.
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    RePEc:arx:papers:1707.06970.

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25. Correlation and Lead–Lag Relationships in a Hawkes Microstructure Model. (2017). DA FONSECA, José ; Zaatour, Riadh.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:37:y:2017:i:3:p:260-285.

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26. A buffer Hawkes process for limit order books. (2017). Caglar, Mine ; Kaj, Ingemar.
    In: Papers.
    RePEc:arx:papers:1710.03506.

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27. Exploring the dynamics of financial markets: from stock prices to strategy returns. (2016). Borland, Lisa.
    In: Chaos, Solitons & Fractals.
    RePEc:eee:chsofr:v:88:y:2016:i:c:p:59-74.

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