3 citations · 5 across the 19 of their papers we have counts for
Showing q-fin.TRShow all
3 papers · 1 filter
q-fin.TR2021
Non-average price impact in order-driven markets
Claudio Bellani, Damiano Brigo, Mikko Pakkanen +1
We present a measurement of price impact in order-driven markets that does not require averages across executions or scenarios. Given the order book data associated with one single…
q-fin.TR2019
Mechanics of good trade execution in the framework of linear temporary market impact
Claudio Bellani, Damiano Brigo
We define the concept of good trade execution and we construct explicit adapted good trade execution strategies in the framework of linear temporary market impact. Good trade execu…
q-fin.TR2018★ 3 cited
Static vs Adaptive Strategies for Optimal Execution with Signals
Claudio Bellani, Damiano Brigo, Alex Done +1
We compare optimal static and dynamic solutions in trade execution. An optimal trade execution problem is considered where a trader is looking at a short-term price predictive sign…