1. Nash equilibria for relative investors with (non)linear price impact. (2024). Gll, Tamara ; Buerle, Nicole.
   In: Mathematics and Financial Economics.
   RePEc:spr:mathfi:v:18:y:2024:i:1:d:10.1007_s11579-024-00356-0.

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2. Ergodic optimal liquidations in DeFi. (2024). Vsivska, David ; Cao, Jialun.
   In: Papers.
   RePEc:arx:papers:2411.19637.

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3. Can market volumes reveal traders rationality and a new risk premium?. (2024). Wang, Tai-Ho ; Giacalone, Roberto ; Recchioni, Maria Cristina ; Mariani, Francesca.
   In: Papers.
   RePEc:arx:papers:2406.05854.

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4. Nash equilibria for relative investors with (non)linear price impact. (2024). Goll, Tamara ; Bauerle, Nicole.
   In: Papers.
   RePEc:arx:papers:2303.18161.

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5. A discrete-time optimal execution problem with market prices subject to random environments. (2023). Jasso-Fuentes, Hector ; Salgado-Suarez, Gladys D ; Pacheco, Carlos G.
   In: TOP: An Official Journal of the Spanish Society of Statistics and Operations Research.
   RePEc:spr:topjnl:v:31:y:2023:i:3:d:10.1007_s11750-022-00652-2.

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6. Research on the Effects of Liquidation Strategies in the Multi-asset Artificial Market. (2023). Song, Shijia ; Luo, Qixuan ; Li, Handong.
   In: Computational Economics.
   RePEc:kap:compec:v:62:y:2023:i:4:d:10.1007_s10614-022-10316-9.

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7. Transaction costs, frequent trading, and stock prices. (2023). Isaenko, Sergey.
   In: Journal of Financial Markets.
   RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000647.

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8. Portfolio liquidation with delayed information. (2023). Yan, Tingjin ; Chiu, Mei Choi ; Wong, Hoi Ying.
   In: Economic Modelling.
   RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002109.

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9. The corporate calendar and the timing of share repurchases and equity compensation. (2022). Dittmann, Ingolf ; Obernberger, Stefan ; Zheng, Jiaqi ; Li, Amy Yazhu.
   In: Tinbergen Institute Discussion Papers.
   RePEc:tin:wpaper:20210101.

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10. Price impact, strategic interaction and portfolio choice. (2022). Curatola, Giuliano.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001959.

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11. Imitate then Transcend: Multi-Agent Optimal Execution with Dual-Window Denoise PPO. (2022). Xiang, YI ; Zhang, Xinwen ; Fang, Jin ; Weng, Jiacheng.
    In: Papers.
    RePEc:arx:papers:2206.10736.

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12. Optimal liquidation under partial information with price impact. (2020). Eksi, Zehra ; Frey, Rudiger ; Szolgyenyi, Michaela ; Colaneri, Katia.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:130:y:2020:i:4:p:1913-1946.

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13. Dynamic Portfolio Execution. (2019). Giesecke, Kay ; Wang, Jiang ; Tsoukalas, Gerry.
    In: Management Science.
    RePEc:inm:ormnsc:v:65:y:2019:i:5:p:2015-2040.

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14. Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves. (2019). Panchenko, Valentyn ; Lafond, François ; Farmer, J. ; Way, Rupert ; Lillo, Fabrizio.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:101:y:2019:i:c:p:211-238.

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15. Optimal execution with regime-switching market resilience. (2019). Zhu, Song-Ping ; Elliott, Robert J ; Guo, Ivan ; Siu, Chi Chung.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:101:y:2019:i:c:p:17-40.

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16. Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach. (2019). Zhu, Zili ; Tian, YU ; Zhang, Rongju ; Langren, Nicolas ; Hamza, Kais ; Klebaner, Fima.
    In: Papers.
    RePEc:arx:papers:1610.07694.

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17. Optimal execution with price impact under Cumulative Prospect Theory. (2018). Li, Xindan ; Zhao, Jingdong ; Zhu, Hongliang.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:490:y:2018:i:c:p:1228-1237.

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18. Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves. (2018). Panchenko, Valentyn ; Lafond, François ; Farmer, J. ; Way, Rupert ; Lillo, Fabrizio.
    In: Papers.
    RePEc:arx:papers:1705.03423.

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19. Periodic strategies in optimal execution with multiplicative price impact. (2018). Moreno-Franco, Harold A ; Hern, Daniel .
    In: Papers.
    RePEc:arx:papers:1705.00284.

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20. Optimal execution strategy and liquidity adjusted value-at-risk. (2017). Jin, Yasong.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:17:y:2017:i:8:p:1147-1157.

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21. Optimal Market Dealing Under Constraints. (2017). Ly, Vathana ; Mnif, Mohamed ; Gaigi, Mhamed ; Chevalier, Etienne.
    In: Journal of Optimization Theory and Applications.
    RePEc:spr:joptap:v:173:y:2017:i:1:d:10.1007_s10957-016-1040-9.

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22. Roll strategy efficiency in commodity futures markets. (2016). Taylor, Nick.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:1:y:2016:i:1:p:14-34.

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23. Stock repurchases and liquidity. (2016). Hillert, Alexander ; Obernberger, Stefan ; Maug, Ernst.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:119:y:2016:i:1:p:186-209.

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24. Liquidity premium in the presence of stock market crises and background risk. (2015). Zhong, Rui ; Isaenko, Sergei.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:15:y:2015:i:1:p:79-90.

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25. 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.

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26. An Optimal Execution Problem with a Geometric Ornstein-Uhlenbeck Price Process. (2014). Kato, Takashi.
    In: Papers.
    RePEc:arx:papers:1107.1787.

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27. Optimal trading strategy and supply/demand dynamics. (2013). Obizhaeva, Anna ; Wang, Jiang.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:16:y:2013:i:1:p:1-32.

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28. General Intensity Shapes in Optimal Liquidation. (2013). LEHALLE, Charles-Albert ; Olivier Gu'eant, .
    In: Papers.
    RePEc:arx:papers:1204.0148.

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29. Stochastic impulse control on optimal execution with price impact and transaction cost. (2013). Junca, Mauricio.
    In: Papers.
    RePEc:arx:papers:1103.3482.

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30. Optimal trade execution: A mean quadratic variation approach. (2012). Tse, S. T. ; FORSYTH, P. A. ; Kennedy, J. S. ; Windcliff, H..
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:36:y:2012:i:12:p:1971-1991.

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31. Optimal Portfolio Liquidation with Limit Orders. (2012). LEHALLE, Charles-Albert ; Olivier Gu'eant, ; Tapia, Joaquin Fernandez .
    In: Papers.
    RePEc:arx:papers:1106.3279.

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32. Large traders and illiquid options: Hedging vs. manipulation. (2011). Kühn, Christoph, ; Kraft, Holger.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:35:y:2011:i:11:p:1898-1915.

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33. Optimal Portfolio Liquidation with Limit Orders. (2011). Gueant, Olivier ; Tapia, Joaquin Fernandez ; Lehalle, Charles-Albert.
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/7391.

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34. Stock Returns and the Volatility of Liquidity. (2010). Zhang, Harold ; Pereira, Joo Pedro.
    In: Journal of Financial and Quantitative Analysis.
    RePEc:cup:jfinqa:v:45:y:2010:i:04:p:1077-1110_00.

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35. Numerical methods for an optimal order execution problem. (2010). Mnif, Mohamed ; Pham, Huyen ; Guilbaud, Fabien .
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    RePEc:arx:papers:1006.0768.

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36. Estimation of Consumer Welfare Change from the Revision of Age Criterion for BSE Testing: Hypothetical Revealed Preference Method Using Monitoring Survey Data. (2010). Yamane, Fumihiro.
    In: Japanese Journal of Agricultural Economics (formerly Japanese Journal of Rural Economics).
    RePEc:ags:jpjjre:242129.

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37. Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. (2009). Schied, Alexander ; Schöneborn, Torsten ; Schoneborn, Torsten.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:13:y:2009:i:2:p:181-204.

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38. Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. (2008). Schied, Alexander ; Schöneborn, Torsten ; Schoeneborn, Torsten .
    In: MPRA Paper.
    RePEc:pra:mprapa:7105.

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39. A model of optimal portfolio selection under liquidity risk and price impact. (2007). Vath, Vathana Ly ; Mnif, Mohamed ; Pham, Huyen.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:11:y:2007:i:1:p:51-90.

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40. Financial Innovations and Macroeconomic Volatility. (2007). Quadrini, Vincenzo ; Jermann, Urban.
    In: 2007 Meeting Papers.
    RePEc:red:sed007:50.

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1. Transaction Costs in Execution Trading. (2020). Marcos, David.
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2. A market impact game under transient price impact. (2017). Zhang, Tao ; Schied, Alexander.
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3. Optimal Position Management for a Market Maker with Stochastic Price Impacts. (2015). Fujii, Masaaki.
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4. Price manipulation in a market impact model with dark pool. (2014). Sun, Yuemeng ; Klock, Florian ; Schied, Alexander.
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5. Undisclosed orders and optimal submission strategies in a limit order market. (2013). Rindi, Barbara ; Buti, Sabrina.
   In: Journal of Financial Economics.
   RePEc:eee:jfinec:v:109:y:2013:i:3:p:797-812.

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6. Individual investors and financial disclosure. (2013). Lawrence, Alastair.
   In: Journal of Accounting and Economics.
   RePEc:eee:jaecon:v:56:y:2013:i:1:p:130-147.

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7. Optimal starting times, stopping times and risk measures for algorithmic trading: Target Close and Implementation Shortfall. (2013). LEHALLE, Charles-Albert ; Labadie, Mauricio.
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8. General Intensity Shapes in Optimal Liquidation. (2013). LEHALLE, Charles-Albert ; Olivier Gu'eant, .
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   RePEc:arx:papers:1204.0148.

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9. Optimal starting times, stopping times and risk measures for algorithmic trading. (2012). LEHALLE, Charles-Albert ; Labadie, Mauricio.
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10. Optimal execution and price manipulations in time-varying limit order books. (2012). Acevedo, Jose Infante ; Alfonsi, Aurelien.
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11. Calibration of optimal execution of financial transactions in the presence of transient market impact. (2012). Lillo, Fabrizio ; Busseti, Enzo.
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    RePEc:arx:papers:1206.0682.

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12. Optimal execution and price manipulations in time-varying limit order books. (2012). Jos'e Infante Acevedo, ; Alfonsi, Aur'Elien.
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    RePEc:arx:papers:1204.2736.

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13. Portfolio liquidation in dark pools in continuous time. (2012). Schoneborn, Torsten ; Kratz, Peter.
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14. Extreme returns: The case of currencies. (2011). Savaser, Tanseli ; Osler, Carol.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:11:p:2868-2880.

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15. A limit order book model for latency arbitrage. (2011). Cohen, Samuel N. ; Szpruch, Lukasz.
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16. Optimal trade execution and price manipulation in order books with time-varying liquidity. (2011). Schöneborn, Torsten ; Schoeneborn, Torsten ; Urusov, Mikhail ; Fruth, Antje.
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17. Optimal trade execution and absence of price manipulations in limit order book models. (2010). Schied, Alexander ; Alfonsi, Aurelien.
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18. Strategic trading in the wrong direction by a large institutional insider. (2010). Giambona, Erasmo ; Golec, Joseph.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:17:y:2010:i:1:p:1-22.

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19. Portfolio choice under transitory price impact. (2010). Isaenko, Sergei.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:34:y:2010:i:11:p:2375-2389.

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20. Numerical methods for an optimal order execution problem. (2010). Mnif, Mohamed ; Pham, Huyen ; Guilbaud, Fabien .
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21. Intraday Patterns in the Cross-section of Stock Returns. (2010). Korajczyk, Robert ; Heston, Steven L. ; Sadka, Ronnie.
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22. Optimal execution strategies in limit order books with general shape functions. (2010). Schied, Alexander ; Alfonsi, Aur'Elien ; Schulz, Antje .
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23. The impact of iceberg orders in limit order books. (2009). Frey, Stefan ; Sands, Patrik.
    In: CFR Working Papers.
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24. Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. (2009). Schied, Alexander ; Schöneborn, Torsten ; Schoneborn, Torsten.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:13:y:2009:i:2:p:181-204.

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25. On the Scholes Liquidation Problem. (2009). Lobo, Miguel Sousa ; BROWN, David B. ; Carlin, Bruce Ian.
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26. Optimal Execution in an Evolutionary Setting. (2009). Ishii, Ryosuke.
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27. VaR and Liquidity Risk.Impact on Market Behaviour and Measurement Issues.. (2008). Erzegovesi, Luca.
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28. Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. (2008). Schied, Alexander ; Schöneborn, Torsten ; Schoeneborn, Torsten .
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29. Bid ask spread in a competitive market with institutions and order size. (2008). Dey, Malay ; Kazemi, Hossein.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:30:y:2008:i:4:p:433-453.

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30. The impact of illiquidity on the asset management of insurance companies. (2008). Berry-Stolzle, Thomas R..
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    RePEc:eee:insuma:v:43:y:2008:i:1:p:1-14.

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31. Liquidation in the Face of Adversity: Stealth Vs. Sunshine Trading, Predatory Trading Vs. Liquidity Provision. (2007). Schied, Alexander ; Schöneborn, Torsten.
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32. Optimal Portfolio Liquidation for CARA Investors. (2007). Schied, Alexander ; Schöneborn, Torsten ; Schoneborn, Torsten.
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33. Optimal liquidation strategies and their implications. (2007). Zhao, Yonggan ; Warachka, Mitch ; Ting, Christopher.
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34. Caught On Tape: Institutional Trading, Stock Returns, and Earnings Announcements. (2007). Ramadorai, Tarun ; Campbell, John ; Schwartz, Allie .
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35. Liquiditätsdynamik am deutschen Aktienmarkt. (2005). Griese, Knut ; Kempf, Alexander.
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36. Optimal Trading Strategy and Supply/Demand Dynamics. (2005). Obizhaeva, Anna ; Wang, Jiang.
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37. Large investors: implications for equilibrium asset, returns, shock absorption, and liquidity. (2005). Pritsker, Matthew.
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38. Dynamic trading policies with price impact. (2005). He, Hua ; Mamaysky, Harry.
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39. Option pricing with an illiquid underlying asset market. (2005). Liu, Hong ; Yong, Jiongmin.
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40. A Dynamic Model with Import Quota Constraints. (2004). Pavlova, Anna ; Basak, Suleyman.
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41. A DYNAMIC MODEL WITH IMPORT QUOTA CONSTRAINTS. (2003). Pavlova, Anna ; Basak, Suleyman.
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42. Market force, ecology and evolution. (2002). Farmer, J..
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43. Strategic trading and learning about liquidity. (2002). Rady, Sven ; Hong, Harrison.
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44. Common factor components versus information shares: a reply. (2002). McInish, Thomas ; Wood, Robert A. ; Harris, Frederick H. deB., .
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45. Security price adjustment across exchanges: an investigation of common factor components for Dow stocks. (2002). McInish, Thomas ; Wood, Robert A. ; deB. Harris, Frederick H., .
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46. Optimal slice of a VWAP trade. (2002). Konishi, Hizuru.
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47. Empirical Analysis of Limit Order Markets. (2001). Hollifield, Burton ; Miller, Robert ; Sands, Patrik.
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48. Research toward the Practical Application of Liquidity Risk Evaluation Methods. (2000). Hisata, Yoshifumi ; Yamai, Yasuhiro.
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49. Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management. (1998). Schuermann, Til ; Diebold, Francis ; Stroughair, John D. ; Bangia, Anil.
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50. Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management. (1998). Schuermann, Til ; Diebold, Francis ; Stroughair, John D. ; Bangia, Anil.
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