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math.OC2025
Multi-asset optimal trade execution with stochastic cross-effects: An Obizhaeva-Wang-type framework
Julia Ackermann, Thomas Kruse, Mikhail Urusov
We analyze a continuous-time optimal trade execution problem in multiple assets where the price impact and the resilience can be matrix-valued stochastic processes that incorporate…
math.OC2022★ 2 cited
Reducing Obizhaeva-Wang type trade execution problems to LQ stochastic control problems
Julia Ackermann, Thomas Kruse, Mikhail Urusov
We start with a stochastic control problem where the control process is of finite variation (possibly with jumps) and acts as integrator both in the state dynamics and in the targe…