Provides explicit value functions and optimal quotes for four execution criteria in a model incorporating signal-dependent drift, price impact, and point-process fills.
Liquidation in limit order books with controlled intensity.Mathematical Finance, 24:627–650, 10 2014
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Explicit Signal-Adaptive Sequential Optimal Execution Quotes
Provides explicit value functions and optimal quotes for four execution criteria in a model incorporating signal-dependent drift, price impact, and point-process fills.