231 citations · 874 across the 46 of their papers we have counts for
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q-fin.TR2026
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…
q-fin.RM2026
Risk-Based Auto-Deleveraging
Steven Campbell, Natascha Hey, Ciamac C. Moallemi +1
Auto-deleveraging (ADL) mechanisms are a critical yet understudied component of risk management on cryptocurrency futures exchanges. When available margin and other loss-absorbing…