1 citations · 1 across the 10 of their papers we have counts for
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Optimal Execution under Liquidity Uncertainty
Etienne Chevalier, Yadh Hafsi, Vathana Ly Vath +1
We study an optimal execution strategy for purchasing a large block of shares over a fixed time horizon. The execution problem is subject to a general price impact that gradually d…
Optimal Execution under Incomplete Information
Etienne Chevalier, Yadh Hafsi, Vathana Ly Vath
We study optimal liquidation strategies under partial information for a single asset within a finite time horizon. We propose a model tailored for high-frequency trading, capturing…
Uncovering Market Disorder and Liquidity Trends Detection
Etienne Chevalier, Yadh Hafsi, Vathana Ly Vath
The primary objective of this paper is to conceive and develop a new methodology to detect notable changes in liquidity within an order-driven market. We study a market liquidity m…