218 citations · 393 across the 16 of their papers we have counts for
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q-fin.TR2012
Optimal starting times, stopping times and risk measures for algorithmic trading: Target Close and Implementation Shortfall
Mauricio Labadie, Charles-Albert Lehalle
We derive explicit recursive formulas for Target Close (TC) and Implementation Shortfall (IS) in the Almgren-Chriss framework. We explain how to compute the optimal starting and st…
q-fin.TR2012★ 1 cited
General Intensity Shapes in Optimal Liquidation
Olivier Guéant, Charles-Albert Lehalle
The classical literature on optimal liquidation, rooted in Almgren-Chriss models, tackles the optimal liquidation problem using a trade-off between market impact and price risk. Th…