Incorporating order-flow into optimal execution
Article Properties
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LanguageEnglish
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DOI (url)
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Publication Date2016/02/18
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Indian UGC (journal)
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Refrences26
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Citations81
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Álvaro Cartea
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Sebastian Jaimungal
Cite
Cartea, Álvaro, and Sebastian Jaimungal. “Incorporating Order-Flow into Optimal Execution”. Mathematics and Financial Economics, vol. 10, no. 3, 2016, pp. 339-64, https://doi.org/10.1007/s11579-016-0162-z.
Cartea, Álvaro, & Jaimungal, S. (2016). Incorporating order-flow into optimal execution. Mathematics and Financial Economics, 10(3), 339-364. https://doi.org/10.1007/s11579-016-0162-z
Cartea Álvaro, Jaimungal S. Incorporating order-flow into optimal execution. Mathematics and Financial Economics. 2016;10(3):339-64.
Journal Categories
Science
Mathematics
Social Sciences
Commerce
Business
Social Sciences
Economic theory
Demography
Economics as a science
Social Sciences
Finance
Social Sciences
Statistics
Refrences
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY
TRADING STRATEGIES | Mathematical Finance |
| 54 | 2015 |
| Buy Low, Sell High: A High Frequency Trading Perspective | SIAM Journal on Financial Mathematics |
| 101 | 2014 |
| 10.1080/1350486X.2012.683963 | Applied Mathematical Finance | 2013 | ||
| Drift dependence of optimal trade execution strategies under transient price impact | Finance and Stochastics |
| 26 | 2013 |
TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS | Mathematical Finance |
| 111 | 2012 |
Refrences Analysis
The category
Social Sciences: Economic theory. Demography: Economics as a science 22
is the most frequently represented among the references in this article. It primarily includes studies from Quantitative Finance The chart below illustrates the number of referenced publications per year.
Refrences used by this article by year
Citations
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
Optimal Investment with a Noisy Signal of Future Stock Prices | Applied Mathematics & Optimization |
| 1 | 2024 |
| A discrete-time optimal execution problem with market prices subject to random environments | TOP |
| 1 | 2023 |
| Portfolio liquidation with delayed information | Economic Modelling |
| 2023 | |
| A data-driven deep learning approach for options market making | Quantitative Finance |
| 3 | 2023 |
| On parametric optimal execution and machine learning surrogates | Quantitative Finance |
| 1 | 2023 |
Citations Analysis
The category
Science: Mathematics 35
is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled A Closed-Form Execution Strategy to Target VWAP and was published in 2014. The most recent citation comes from a 2024 study titled Optimal Investment with a Noisy Signal of Future Stock Prices. This article reached its peak citation in 2022, with 17 citations. It has been cited in 22 different journals, 9% of which are open access. Among related journals, the SSRN Electronic Journal cited this research the most, with 26 citations. The chart below illustrates the annual citation trends for this article.