Optimal execution with nonlinear impact functions and trading-enhanced risk

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Refrences
Title Journal Journal Categories Citations Publication Date
10.21314/JOR.2001.041 2000
10.21314/JOR.2001.049 2001
10.21314/JOR.2001.049 1999
Optimal liquidity trading 2001
Market Impact Model Handbook 1997
Citations
Title Journal Journal Categories Citations Publication Date
Neural stochastic agent‐based limit order book simulation with neural point process and diffusion probabilistic model

 Intelligent Systems in Accounting, Finance and Management
  • Social Sciences: Finance
 2024
Constructing Optimal Portfolio Rebalancing Strategies with a Two-Stage Multiresolution-Grid Model

 Computational Economics
  • Science: Mathematics
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Commerce: Business: Personnel management. Employment management
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 2024
Optimal trade execution in cryptocurrency markets

 Digital Finance 2024
Viscosity solution for optimal liquidation problems with randomly-terminated horizon Finance Research Letters
  • Social Sciences: Finance
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 2024
Price impact in Nash equilibria Finance and Stochastics
  • Science: Mathematics
  • Science: Mathematics: Probabilities. Mathematical statistics
  • Social Sciences: Finance
  • Social Sciences: Statistics
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 2 2023
Citations Analysis
Category Category Repetition
Science: Mathematics106
Social Sciences: Economic theory. Demography: Economics as a science91
Social Sciences: Finance86
Social Sciences: Commerce: Business85
Social Sciences: Statistics63
Technology: Engineering (General). Civil engineering (General)32
Technology: Manufactures: Production management. Operations management23
Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods17
Science: Mathematics: Probabilities. Mathematical statistics11
Social Sciences: Commerce: Business: Personnel management. Employment management9
Technology: Mechanical engineering and machinery8
Science: Physics7
Technology: Electrical engineering. Electronics. Nuclear engineering: Electronics7
Technology: Electrical engineering. Electronics. Nuclear engineering: Electric apparatus and materials. Electric circuits. Electric networks5
Science: Science (General)3
Social Sciences: Commerce: Business: Accounting. Bookkeeping3
Technology: Chemical technology2
Technology: Electrical engineering. Electronics. Nuclear engineering: Materials of engineering and construction. Mechanics of materials2
Science: Science (General): Cybernetics: Information theory2
Technology: Technology (General): Industrial engineering. Management engineering2
Science: Mathematics: Instruments and machines: Electronic computers. Computer science2
Social Sciences: Finance: Insurance2
Medicine1
Science1
Technology: Electrical engineering. Electronics. Nuclear engineering1
Technology: Electrical engineering. Electronics. Nuclear engineering: Telecommunication1
Technology: Engineering (General). Civil engineering (General): Mechanics of engineering. Applied mechanics1
Science: Physics: Electricity and magnetism: Electricity: Plasma physics. Ionized gases1
The category Science: Mathematics 106 is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled How Quickly Should You Liquidate Your Vested Stock? and was published in 2002. The most recent citation comes from a 2024 study titled Neural stochastic agent‐based limit order book simulation with neural point process and diffusion probabilistic model. This article reached its peak citation in 2015, with 33 citations. It has been cited in 81 different journals, 11% of which are open access. Among related journals, the SSRN Electronic Journal cited this research the most, with 109 citations. The chart below illustrates the annual citation trends for this article.
Citations used this article by year