13 citations · 13 across the 1 of their papers we have counts for
2 papers
q-fin.TR2012
Adaptive Execution: Exploration and Learning of Price Impact
Beomsoo Park, Benjamin Van Roy
We consider a model in which a trader aims to maximize expected risk-adjusted profit while trading a single security. In our model, each price change is a linear combination of obs…
math.OC2008★ 13 cited
Strategic Execution in the Presence of an Uninformed Arbitrageur
Ciamac C. Moallemi, Beomsoo Park, Benjamin Van Roy
We consider a trader who aims to liquidate a large position in the presence of an arbitrageur who hopes to profit from the trader's activity. The arbitrageur is uncertain about the…