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1. David vs Goliath (You against the Markets), A Dynamic Programming Approach to Separate the Impact and Timing of Trading Costs. (2021). Kashyap, Ravi.
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2. An FBSDE approach to market impact games with stochastic parameters. (2019). Drapeau, Samuel ; Luo, Peng ; Xiong, Dewen ; Schied, Alexander.
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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 Liquidation Problems in a Randomly-Terminated Horizon. (2017). Ching, Wai-Ki ; Wong, Tak Kwong ; Yang, Qing-Qing ; Gu, Jia-Wen.
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5. Liquidity Effects of Trading Frequency. (2017). Nadtochiy, Sergey ; Gayduk, Roman.
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6. Optimal Asset Liquidation with Multiplicative Transient Price Impact. (2017). Bilarev, Todor ; Frentrup, Peter ; Becherer, Dirk.
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7. Hedging with Temporary Price Impact. (2016). Bank, Peter ; Voss, Moritz ; Soner, Mete.
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8. Optimal order display in limit order markets with liquidity competition. (2015). Horst, Ulrich ; Cebirolu, Gokhan.
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9. Regularity properties in a state-constrained expected utility maximization problem. (2015). Lazgham, Mourad.
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10. Optimal Portfolio Liquidation in Target Zone Models and Catalytic Superprocesses. (2015). Neuman, Eyal ; Schied, Alexander.
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11. A dynamic optimal execution strategy under stochastic price recovery. (2015). Ieda, Masashi.
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12. Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties. (2015). Shirai, Yoshihiro ; Leung, Tim.
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13. Facilitation and Internalization Optimal Strategy in a Multilateral Trading Context. (2015). Li, Qinghua.
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14. A state-constrained differential game arising in optimal portfolio liquidation. (2015). Zhang, Tao ; Schied, Alexander.
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15. The General Structure of Optimal Investment and Consumption with Small Transaction Costs. (2015). Muhle-Karbe, Johannes ; Kallsen, Jan.
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16. Hedging Market Risk in Optimal Liquidation. (2014). Monin, Phillip.
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17. Optimal execution with nonlinear transient market impact. (2014). Gatheral, Jim ; Curato, Gianbiagio ; Lillo, Fabrizio.
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18. High-Resilience Limits of Block-Shaped Order Books. (2014). Muhle-Karbe, Johannes ; Kallsen, Jan.
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19. Optimal Execution with Dynamic Order Flow Imbalance. (2014). Ludkovski, Mike ; Bechler, Kyle .
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20. A convex duality method for optimal liquidation with participation constraints. (2014). Olivier Gu'eant, ; Pu, Jiang ; Lasry, Jean-Michel.
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21. Stylized facts of price gaps in limit order books: Evidence from Chinese stocks. (2014). Zhou, Wei-Xing ; Zhang, Yong-Jie ; Xiong, Xiong ; Chen, Wei ; Gu, Gao-Feng.
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22. A reinforcement learning extension to the Almgren-Chriss model for optimal trade execution. (2014). Hendricks, Dieter ; Wilcox, Diane.
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23. Permanent market impact can be nonlinear. (2014). Olivier Gu'eant, .
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24. Price manipulation in a market impact model with dark pool. (2014). Sun, Yuemeng ; Klock, Florian ; Schied, Alexander.
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25. Optimal trading strategy and supply/demand dynamics. (2013). Obizhaeva, Anna ; Wang, Jiang.
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26. Economic Modeling for Optimal Trading of Financial Asset in Volatile Market. (2013). Sun, Edward ; Kruse, Timm.
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27. A Monte Carlo method for optimal portfolio executions. (2013). Achtsis, Nico ; Nuyens, Dirk.
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28. Market Impact Paradoxes. (2013). Skachkov, Igor .
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29. Optimal Execution Trajectories. Linear Market Impact with Exponential Decay. (2013). Skachkov, Igor .
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30. 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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31. Market Liquidity -- Theory and Empirical Evidence. (2012). Vayanos, Dimitri ; Wang, Jiang.
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32. Optimal starting times, stopping times and risk measures for algorithmic trading. (2012). LEHALLE, Charles-Albert ; Labadie, Mauricio.
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33. Optimal trade execution: A mean quadratic variation approach. (2012). Tse, S. T. ; FORSYTH, P. A. ; Kennedy, J. S. ; Windcliff, H..
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34. High Frequency Market Making. (2012). Carmona, Rene ; Webster, Kevin.
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35. Optimal Trading with Linear Costs. (2012). Potters, Marc ; de Lataillade, Joachim ; Bouchaud, Jean-Philippe ; Deremble, Cyril.
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36. Portfolio liquidation in dark pools in continuous time. (2012). Schoneborn, Torsten ; Kratz, Peter.
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37. Risk Premia and Optimal Liquidation of Credit Derivatives. (2012). Leung, Tim ; Liu, Peng.
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38. Low order-value approach for solving VaR-constrained optimization problems. (2011). Kreji, N. ; Bueno, L. ; Martinez, J. ; Birgin, E..
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39. Optimal trading execution with nonlinear market impact: an alternative solution method. (2011). Zagaglia, Paolo ; Ritelli, Daniele ; Marzo, Massimiliano ; Daniele, Ritelli ; Massmiliano, Marzo ; Paolo, Zagaglia .
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40. Dynamic trade execution: a grammatical evolution approach. (2011). Cui, Wei ; O'Neill, Michael ; Brabazon, Anthony.
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41. Optimal Portfolio Liquidation with Limit Orders. (2011). Gueant, Olivier ; Tapia, Joaquin Fernandez ; Lehalle, Charles-Albert.
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42. Optimal Trading Execution with Nonlinear Market Impact: An Alternative Solution Method. (2011). Zagaglia, Paolo ; Ritelli, Daniele ; Marzo, Massimiliano.
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43. A limit order book model for latency arbitrage. (2011). Cohen, Samuel N. ; Szpruch, Lukasz.
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44. 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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45. Optimal trade execution and absence of price manipulations in limit order book models. (2010). Schied, Alexander ; Alfonsi, Aurelien.
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46. Portfolio choice under transitory price impact. (2010). Isaenko, Sergei.
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47. Optimal Execution in an Evolutionary Setting. (2009). Ishii, Ryosuke.
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48. Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets. (2008). Schied, Alexander ; Schöneborn, Torsten ; Schoeneborn, Torsten .
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49. Liquidation in the Face of Adversity: Stealth Vs. Sunshine Trading, Predatory Trading Vs. Liquidity Provision. (2007). Schied, Alexander ; Schöneborn, Torsten.
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50. Optimal Trading Strategy and Supply/Demand Dynamics. (2005). Obizhaeva, Anna ; Wang, Jiang.
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