54 citations · 55 across the 4 of their papers we have counts for
Showing q-fin.TRShow all
2 papers · 1 filter
q-fin.TR2026
Model Predictive Control For Trade Execution
Thomas P. McAuliffe, Samuel Liew, Yuchao Li +7
We address the problem of executing large client orders in continuous double-auction markets under time and liquidity constraints. We propose a model predictive control (MPC) frame…
q-fin.TR2008
Statistical Arbitrage and Optimal Trading with Transaction Costs in Futures Markets
Theodoros Tsagaris
We consider the Brownian market model and the problem of expected utility maximization of terminal wealth. We, specifically, examine the problem of maximizing the utility of termin…