1 citations · 2 across the 6 of their papers we have counts for
4 papers · 1 filter
The Convergence Rate of Stochastic Tracking with Application to Optimal Execution
Marcel Nutz, Moritz Voss
We study the quadratic tracking problem of a general stochastic target process with absolutely continuous controls, with and without terminal constraint. We derive explicit, non-as…
On Parametric Optimal Execution and Machine Learning Surrogates
Tao Chen, Mike Ludkovski, Moritz Voß
We investigate optimal order execution problems in discrete time with instantaneous price impact and stochastic resilience. First, in the setting of linear transient price impact w…
Trading with the Crowd
Eyal Neuman, Moritz Voß
We formulate and solve a multi-player stochastic differential game between financial agents who seek to cost-efficiently liquidate their position in a risky asset in the presence o…
Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact
Eyal Neuman, Moritz Voß
We study optimal liquidation in the presence of linear temporary and transient price impact along with taking into account a general price predicting finite-variation signal. We fo…