Imagen de Portada

Optimal Liquidation with Signals: the General Propagator Case

Fuente: arXiv

Guardado en:

Detalles Bibliográficos
Autores principales:	Jaber, Eduardo Abi, Neuman, Eyal
Formato:	Preprint
Publicado:	2022
Materias:	Trading and Market Microstructure Probability 93E20, 60H30, 91G80
Acceso en línea:	Acceder al recurso
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

Ejemplares similares

Optimal Portfolio Choice with Cross-Impact Propagators
por: Jaber, Eduardo Abi, et al.
Publicado: (2024)

Fredholm Approach to Nonlinear Propagator Models
por: Jaber, Eduardo Abi, et al.
Publicado: (2025)

Statistical Learning with Sublinear Regret of Propagator Models
por: Neuman, Eyal, et al.
Publicado: (2023)

FX Market Making with Internal Liquidity
por: Barzykin, Alexander, et al.
Publicado: (2025)

Myopic Optimality: why reinforcement learning portfolio management strategies lose money
por: Ma, Yuming
Publicado: (2025)

Ergodic optimal liquidations in DeFi
por: Cao, Jialun, et al.
Publicado: (2024)

Avellaneda-Stoikov and Cartea-Jaimungal as One Framework: A Forced Uniqueness Theorem for Inventory Market Making
por: Feys, Frank M. V.
Publicado: (2026)

Explicit Signal-Adaptive Sequential Optimal Execution Quotes
por: Yu, Fenghui
Publicado: (2026)

On Bellman equation in the limit order optimization problem for high-frequency trading
por: Balakaeva, M. I., et al.
Publicado: (2025)

Unwinding Toxic Flow with Partial Information
por: Barzykin, Alexander, et al.
Publicado: (2024)

Tail-Safe Stochastic-Control SPX-VIX Hedging: A White-Box Bridge Between AI Sensitivities and Arbitrage-Free Market Dynamics
por: Zhang, Jian'an
Publicado: (2025)

RAmmStein: Regime Adaptation in Mean-reverting Markets with Stein Thresholds -- Optimal Impulse Control in Concentrated AMMs
por: Anchuri, Pranay
Publicado: (2026)

Dynamics of Periodic Bubbles and Crashes: Modeling Market Overheating and Panic Selling via Cubic Momentum
por: Yoshida, Naohiro
Publicado: (2026)

Solving Optimal Execution Problems via In-Context Operator Networks
por: Meng, Tingwei, et al.
Publicado: (2025)

Reinforcement Learning for Speculative Trading under Exploratory Framework
por: Zhao, Yun, et al.
Publicado: (2026)

Logarithmic regret in the ergodic Avellaneda-Stoikov market making model
por: Cao, Jialun, et al.
Publicado: (2024)

Optimal Trading under Instantaneous and Persistent Price Impact, Predictable Returns and Multiscale Stochastic Volatility
por: Chan, Patrick, et al.
Publicado: (2025)

Optimal execution with deterministically time varying liquidity: well posedness and price manipulation
por: Palmari, Gianluca, et al.
Publicado: (2024)

The Mean Field Market Model Revisited
por: Hasenbichler, Manuel, et al.
Publicado: (2023)

The Support and Resistance Line Method: An Analysis via Optimal Stopping
por: Henderson, Vicky, et al.
Publicado: (2021)

A theory of passive market impact
por: Chahdi, Youssef Ouazzani, et al.
Publicado: (2024)

Optimal Execution under Liquidity Uncertainty
por: Chevalier, Etienne, et al.
Publicado: (2025)

Path-dependent Kyle equilibrium model
por: Corcuera, José M., et al.
Publicado: (2020)

Continuous time analysis of fleeting discrete price moves
por: Shephard, Neil, et al.
Publicado: (2014)

Optimal Execution in Intraday Energy Markets under Hawkes Processes with Transient Impact
por: Chatziandreou, Konstantinos, et al.
Publicado: (2025)

Dynamics of Liquidity Surfaces in Uniswap v3
por: Risk, Jimmy, et al.
Publicado: (2025)

Equilibrium in Functional Stochastic Games with Mean-Field Interaction
por: Jaber, Eduardo Abi, et al.
Publicado: (2023)

Mean field equilibrium asset pricing model under partial observation: An exponential quadratic Gaussian approach
por: Sekine, Masashi
Publicado: (2024)

Optimal Execution Strategies Incorporating Internal Liquidity Through Market Making
por: Morimoto, Yusuke
Publicado: (2024)

A New Approach for the Continuous Time Kyle-Back Strategic Insider Equilibrium Problem
por: Qiao, Bixing, et al.
Publicado: (2025)

Optimal Bubble Riding: A Mean Field Game with Varying Entry Times
por: Tangpi, Ludovic, et al.
Publicado: (2022)

How Wash Traders Exploit Market Conditions in Cryptocurrency Markets
por: Ng, Hunter
Publicado: (2024)

Fill Probabilities in a Limit Order Book with State-Dependent Stochastic Order Flows
por: Lokin, Felix, et al.
Publicado: (2024)

The Privacy Subsidy in Continuous-Time Kyle: Cumulative Welfare under Noise-Perturbed Order-Flow Observation
por: Nakamura, Yuki
Publicado: (2026)

The Privacy Subsidy: Kyle's $λ$ under Noise-Perturbed Order-Flow Observation
por: Nakamura, Yuki
Publicado: (2026)

The Privacy Subsidy in Glosten-Milgrom: Bid-Ask Spread and Welfare under Flip-Noise Direction Observation
por: Nakamura, Yuki
Publicado: (2026)

Liquidity provision of utility indifference type in decentralized exchanges
por: Fukasawa, Masaaki, et al.
Publicado: (2025)

A mathematical framework for modelling CLMM dynamics in continuous time
por: Tung, Shen-Ning, et al.
Publicado: (2024)

A multi-factor market-neutral investment strategy for New York Stock Exchange equities
por: Gkolemis, Georgios M., et al.
Publicado: (2024)

A unified theory of order flow, market impact, and volatility
por: Muhle-Karbe, Johannes, et al.
Publicado: (2026)