36 citations · 126 across the 37 of their papers we have counts for
5 papers · 1 filter
Extension and calibration of a Hawkes-based optimal execution model
Aurélien Alfonsi, Pierre Blanc
We provide some theoretical extensions and a calibration protocol for our former dynamic optimal execution model. The Hawkes parameters and the propagator are estimated independent…
Dynamic optimal execution in a mixed-market-impact Hawkes price model
Aurélien Alfonsi, Pierre Blanc
We study a linear price impact model including other liquidity takers, whose flow of orders either follows a Poisson or a Hawkes process. The optimal execution problem is solved ex…
Multivariate transient price impact and matrix-valued positive definite functions
Aurélien Alfonsi, Alexander Schied, Florian Klöck
We consider a model for linear transient price impact for multiple assets that takes cross-asset impact into account. Our main goal is to single out properties that need to be impo…
Optimal execution and price manipulations in time-varying limit order books
Aurélien Alfonsi, José Infante Acevedo
This paper focuses on an extension of the Limit Order Book (LOB) model with general shape introduced by Alfonsi, Fruth and Schied. Here, the additional feature allows a time-varyin…
Optimal execution strategies in limit order books with general shape functions
Aurélien Alfonsi, Antje Fruth, Alexander Schied
We consider optimal execution strategies for block market orders placed in a limit order book (LOB). We build on the resilience model proposed by Obizhaeva and Wang (2005) but allo…