9 citations · 26 across the 9 of their papers we have counts for
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q-fin.MF2023
Approximately optimal trade execution strategies under fast mean-reversion
David Evangelista, Yuri Thamsten
In a fixed time horizon, appropriately executing a large amount of a particular asset -- meaning a considerable portion of the volume traded within this frame -- is challenging. Es…
q-fin.MF2021
On regularized optimal execution problems and their singular limits
Max O. Souza, Yuri Thamsten
We investigate the portfolio execution problem under a framework in which volatility and liquidity are both uncertain. In our model, we assume that a multidimensional Markovian sto…
q-fin.MF2020★ 9 cited
On finite population games of optimal trading
David Evangelista, Yuri Thamsten
We investigate stochastic differential games of optimal trading comprising a finite population. There are market frictions in the present framework, which take the form of stochast…