186 citations · 186 across the 1 of their papers we have counts for
2 papers
q-fin.PM2012
Optimal Trading with Linear Costs
Joachim de Lataillade, Cyril Deremble, Marc Potters +1
We consider the problem of the optimal trading strategy in the presence of linear costs, and with a strict cap on the allowed position in the market. Using Bellman's backward recur…
q-fin.TR2011★ 186 cited
Anomalous price impact and the critical nature of liquidity in financial markets
Bence Toth, Yves Lemperiere, Cyril Deremble +3
We propose a dynamical theory of market liquidity that predicts that the average supply/demand profile is V-shaped and {\it vanishes} around the current price. This result is gener…