In this review article, we present recent work on the regularity of dynamical market impact
models and their associated optimal order execution strategies. In particular, we address the …

The design of trading algorithms requires sophisticated mathematical models backed up by
reliable data. In this textbook, the authors develop models for algorithmic trading in contexts …

Common asset holdings are widely believed to have been the primary vector of contagion in
the recent financial crisis. We develop a network approach to the amplification of financial …

A fully revised second edition of the best guide to high-frequency trading High-frequency
trading is a difficult, but profitable, endeavor that can generate stable profits in various …

We study the price impact of order book events—limit orders, market orders, and
cancellations—using the NYSE Trades and Quotes data for fifty US stocks. We show that …

Limit order books (LOBs) match buyers and sellers in more than half of the world's financial
markets. This survey highlights the insights that have emerged from the wealth of empirical …

This review article is intended to collect and summarize many of the results in the field of
optimal execution over the last twenty years. In doing so, we describe the general workings …

We provide an explicit closed-form strategy for an investor who executes a large order when
market order-flow from all agents, including the investor's own trades, has a permanent price …

We introduce a multivariate Hawkes process that accounts for the dynamics of market prices
through the impact of market order arrivals at microstructural level. Our model is a point …

With an alternative choice of risk criterion, we solve the HJB equation explicitly to find a
closed-form solution for the optimal trade execution strategy in the Almgren–Chriss …