{"record_type":"pith_number_record","schema_url":"https://pith.science/schemas/pith-number/v1.json","pith_number":"pith:2009:KMZ34KXPKSLRL26JG6EUDC2QZV","short_pith_number":"pith:KMZ34KXP","schema_version":"1.0","canonical_sha256":"5333be2aef549715ebc93789418b50cd5b8abd2cb17c0dbf16c5da11740e5841","source":{"kind":"arxiv","id":"0902.2516","version":1},"attestation_state":"computed","paper":{"title":"Optimal Trade Execution in Illiquid Markets","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.TR","authors_text":"Erhan Bayraktar, Mike Ludkovski","submitted_at":"2009-02-15T02:23:03Z","abstract_excerpt":"We study optimal trade execution strategies in financial markets with discrete order flow. The agent has a finite liquidation horizon and must minimize price impact given a random number of incoming trade counterparties. Assuming that the order flow $N$ is given by a Poisson process, we give a full analysis of the properties and computation of the optimal dynamic execution strategy. Extensions, whereby (a) $N$ is a fully-observed regime-switching Poisson process; and (b) $N$ is a Markov-modulated compound Poisson process driven by a hidden Markov chain, are also considered.\n  We derive and com"},"verification_status":{"content_addressed":true,"pith_receipt":true,"author_attested":false,"weak_author_claims":0,"strong_author_claims":0,"externally_anchored":false,"storage_verified":false,"citation_signatures":0,"replication_records":0,"graph_snapshot":true,"references_resolved":false,"formal_links_present":false},"canonical_record":{"source":{"id":"0902.2516","kind":"arxiv","version":1},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.TR","submitted_at":"2009-02-15T02:23:03Z","cross_cats_sorted":[],"title_canon_sha256":"e7928af7367d940261ecc974a4f5e596c0d4a4279e8e7d1dcb1c70f2c155e865","abstract_canon_sha256":"a2ab01d05a82fdc48a4d66c8b906882e671b1e60027735b338e579ec09b39b4d"},"schema_version":"1.0"},"receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T03:56:24.589985Z","signature_b64":"eDoiHa4q9bYDlur/GFcWhUPcnzM1wqSSWuDoGQFhoDMalraEq+Gc2h6Xb7NZGD2wKVERZNVCPqhKKeLNYY40DA==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"5333be2aef549715ebc93789418b50cd5b8abd2cb17c0dbf16c5da11740e5841","last_reissued_at":"2026-05-18T03:56:24.589436Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T03:56:24.589436Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"graph_snapshot":{"paper":{"title":"Optimal Trade Execution in Illiquid Markets","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.TR","authors_text":"Erhan Bayraktar, Mike Ludkovski","submitted_at":"2009-02-15T02:23:03Z","abstract_excerpt":"We study optimal trade execution strategies in financial markets with discrete order flow. The agent has a finite liquidation horizon and must minimize price impact given a random number of incoming trade counterparties. Assuming that the order flow $N$ is given by a Poisson process, we give a full analysis of the properties and computation of the optimal dynamic execution strategy. Extensions, whereby (a) $N$ is a fully-observed regime-switching Poisson process; and (b) $N$ is a Markov-modulated compound Poisson process driven by a hidden Markov chain, are also considered.\n  We derive and com"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"0902.2516","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"},"aliases":[{"alias_kind":"arxiv","alias_value":"0902.2516","created_at":"2026-05-18T03:56:24.589525+00:00"},{"alias_kind":"arxiv_version","alias_value":"0902.2516v1","created_at":"2026-05-18T03:56:24.589525+00:00"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.0902.2516","created_at":"2026-05-18T03:56:24.589525+00:00"},{"alias_kind":"pith_short_12","alias_value":"KMZ34KXPKSLR","created_at":"2026-05-18T12:26:00.592388+00:00"},{"alias_kind":"pith_short_16","alias_value":"KMZ34KXPKSLRL26J","created_at":"2026-05-18T12:26:00.592388+00:00"},{"alias_kind":"pith_short_8","alias_value":"KMZ34KXP","created_at":"2026-05-18T12:26:00.592388+00:00"}],"events":[],"event_summary":{},"paper_claims":[],"inbound_citations":{"count":0,"internal_anchor_count":0,"sample":[]},"formal_canon":{"evidence_count":0,"sample":[],"anchors":[]},"links":{"html":"https://pith.science/pith/KMZ34KXPKSLRL26JG6EUDC2QZV","json":"https://pith.science/pith/KMZ34KXPKSLRL26JG6EUDC2QZV.json","graph_json":"https://pith.science/api/pith-number/KMZ34KXPKSLRL26JG6EUDC2QZV/graph.json","events_json":"https://pith.science/api/pith-number/KMZ34KXPKSLRL26JG6EUDC2QZV/events.json","paper":"https://pith.science/paper/KMZ34KXP"},"agent_actions":{"view_html":"https://pith.science/pith/KMZ34KXPKSLRL26JG6EUDC2QZV","download_json":"https://pith.science/pith/KMZ34KXPKSLRL26JG6EUDC2QZV.json","view_paper":"https://pith.science/paper/KMZ34KXP","resolve_alias":"https://pith.science/api/pith-number/resolve?arxiv=0902.2516&json=true","fetch_graph":"https://pith.science/api/pith-number/KMZ34KXPKSLRL26JG6EUDC2QZV/graph.json","fetch_events":"https://pith.science/api/pith-number/KMZ34KXPKSLRL26JG6EUDC2QZV/events.json","actions":{"anchor_timestamp":"https://pith.science/pith/KMZ34KXPKSLRL26JG6EUDC2QZV/action/timestamp_anchor","attest_storage":"https://pith.science/pith/KMZ34KXPKSLRL26JG6EUDC2QZV/action/storage_attestation","attest_author":"https://pith.science/pith/KMZ34KXPKSLRL26JG6EUDC2QZV/action/author_attestation","sign_citation":"https://pith.science/pith/KMZ34KXPKSLRL26JG6EUDC2QZV/action/citation_signature","submit_replication":"https://pith.science/pith/KMZ34KXPKSLRL26JG6EUDC2QZV/action/replication_record"}},"created_at":"2026-05-18T03:56:24.589525+00:00","updated_at":"2026-05-18T03:56:24.589525+00:00"}