Related papers: Optimizing Execution Cost Using Stochastic Control

We study optimal liquidation strategies under partial information for a single asset within a finite time horizon. We propose a model tailored for high-frequency trading, capturing price formation driven solely by order flow through…

Large scale electricity storage is set to play an increasingly important role in the management of future energy networks. A major aspect of the economics of such projects is captured in arbitrage, i.e. buying electricity when it is cheap…

This paper investigates the impact of anonymous trading on the agents' strategy in an optimal execution framework. It mainly explores the specificity of order attribution on the Toronto Stock Exchange, where brokers can choose to either…

This paper examines the role of algorithmic trading in modern financial markets. Additionally, order types, characteristics, and special features of algorithmic trading are described under the lens provided by the large development of high…

We study optimal execution in markets with transient price impact in a competitive setting with $N$ traders. Motivated by prior negative results on the existence of pure Nash equilibria, we consider randomized strategies for the traders and…

We present a method for obtaining approximate solutions to the problem of optimal execution, based on a signature method. The framework is general, only requiring that the price process is a geometric rough path and the price impact…

This paper examines a trade execution game for two large traders in a generalized price impact model. We incorporate a stochastic and sequentially dependent factor that exogenously affects the market price into financial markets. Our model…

Optimal execution, i.e., the determination of the most cost-effective way to trade volumes in continuous trading sessions, has been a topic of interest in the equity trading world for years. Electricity intraday trading slowly follows this…

Trajectory optimization is a fundamental stochastic optimal control problem. This paper deals with a trajectory optimization approach for dynamical systems subject to measurement noise that can be fitted into linear time-varying stochastic…

In this paper we develop a concrete and fully implementable approach to the optimization of functionally generated portfolios in stochastic portfolio theory. The main idea is to optimize over a family of rank-based portfolios parameterized…

In this work, we consider the optimal portfolio selection problem under hard constraints on trading volume amounts when the dynamics of the risky asset returns are governed by a discrete-time approximation of the Markov-modulated geometric…

We investigate planning in time-critical domains represented as Markov Decision Processes, showing that search based techniques can be a very powerful method for finding close to optimal plans. To reduce the computational cost of planning…

We consider a class of discrete time stochastic control problems motivated by some financial applications. We use a pathwise stochastic control approach to provide a dual formulation of the problem. This enables us to develop a numerical…

This paper is concerned with a time-inconsistent recursive stochastic control problems where the forward state process is constrained through an additional recursive utility system. By adapting the Ekeland variational principle, necessary…

In this paper, we study the optimal control problem for steering the state covariance of a discrete-time linear stochastic system over a finite time horizon. First, we establish the existence and uniqueness of the optimal control law for a…

This paper is devoted to the analysis of a finite horizon discrete-time stochastic optimal control problem, in presence of constraints. We study the regularity of the value function which comes from the dynamic programming algorithm. We…

This paper considers a class of stochastic control problems with implicitly defined objective functions, which are the sources of time-inconsistency. We study the closed-loop equilibrium solutions in a general controlled diffusion…

We investigate the well-posedness of a general class of singular stochastic control problems in which controls are processes of finite variation. We develop an abstract framework, which we then apply to storage management and portfolio…

In this article, we develop a general framework to study optimal execution and to price block trades. We prove existence of optimal liquidation strategies and we provide regularity results for optimal strategies under very general…

In this paper, we consider the gradual-impulse control problem of continuous-time Markov decision processes, where the system performance is measured by the expectation of the exponential utility of the total cost. We prove, under very…