The theory of Markov decision processes focuses on controlled Markov chains in discrete
time. The authors establish the theory for general state and action spaces and at the same …

We consider a framework for solving optimal liquidation problems in limit order books. In
particular, order arrivals are modeled as a point process whose intensity depends on the …

We develop an optimal execution policy for an investor seeking to execute a large order
using limit and market orders. The investor solves the optimal policy considering different …

Algorithmic traders acknowledge that their models are incorrectly specified, thus we allow for
ambiguity in their choices to make their models robust to misspecification in (i) the arrival …

To execute a trade, participants in electronic equity markets may choose to submit limit
orders or market orders across various exchanges where a stock is traded. This decision is …

We analyze the existence of price manipulation and optimal trade execution strategies in a
model for an electronic limit order book with nonlinear price impact and exponential …

We study a linear price impact model, including other liquidity takers, whose flow of orders is
driven by a Hawkes process. The optimal execution problem is solved explicitly in this …

Algorithmic trading strategies for execution often focus on the individual agent who is
liquidating/acquiring shares. When generalized to multiple agents, the resulting stochastic …

We show how traders use marketable limit orders (MLOs) to liquidate a position over a
trading window when there is latency in the marketplace. MLOs are liquidity-taking orders …

With the aim to sequentially determine optimal allocations across a set of assets, Online
Portfolio Selection (OLPS) has significantly reshaped the financial investment landscape …