Formulation of an Optimal Execution Problem with Market Impact: Derivation from Discrete-Time Models to Continuous-Time Models

SSRN Electronic Journal ◽

10.2139/ssrn.2208231 ◽

2013 ◽

Author(s):

Takashi Kato

Keyword(s):

Discrete Time ◽

Continuous Time ◽

Market Impact ◽

Optimal Execution ◽

Optimal Execution Problem ◽

Discrete Time Models ◽

Continuous Time Models

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Mapping of Continuous-Time Models to Discrete-Time Models

Model Predictive Control of Wind Energy Conversion Systems ◽

10.1002/9781119082989.ch7 ◽

2016 ◽

pp. 207-234

Keyword(s):

Discrete Time ◽

Continuous Time ◽

Discrete Time Models ◽

Continuous Time Models

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ON THE RECONSTRUCTION OF CONTINUOUS-TIME MODELS FROM ESTIMATED DISCRETE-TIME MODELS OF STOCHASTIC PROCESSES

IFAC Proceedings Volumes ◽

10.3182/20060329-3-au-2901.00063 ◽

2006 ◽

Vol 39 (1) ◽

pp. 422-427

Author(s):

Kaushik Mahata ◽

Minyue Fu

Keyword(s):

Stochastic Processes ◽

Discrete Time ◽

Continuous Time ◽

Discrete Time Models ◽

Continuous Time Models

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Bridge between Continuous-Time Models and Discrete-Time Models

Time Series Modeling of Neuroscience Data ◽

10.1201/b11527-13 ◽

2012 ◽

pp. 242-295

Keyword(s):

Discrete Time ◽

Continuous Time ◽

Discrete Time Models ◽

Continuous Time Models

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Discrete-time models resulting from dynamic continuous-time perturbations in phase-amplitude modulation-demodulation schemes

2016 IEEE 55th Conference on Decision and Control (CDC) ◽

10.1109/cdc.2016.7799288 ◽

2016 ◽

Cited By ~ 1

Author(s):

Omer Tanovic ◽

Alexandre Megretski ◽

Yan Li ◽

Vladimir M. Stojanovic ◽

Mitra Osqui

Keyword(s):

Discrete Time ◽

Amplitude Modulation ◽

Continuous Time ◽

Phase Amplitude ◽

Discrete Time Models

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Formulation of an Optimal Execution Problem with Market Impact

Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications ◽

10.5687/sss.2010.235 ◽

2010 ◽

Vol 2010 (0) ◽

pp. 235-240

Author(s):

Takashi Kato

Keyword(s):

Market Impact ◽

Optimal Execution ◽

Optimal Execution Problem

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Identifying Restrictions for Finite Parameter Continuous Time Models with Discrete Time Data

SSRN Electronic Journal ◽

10.2139/ssrn.2354506 ◽

2013 ◽

Cited By ~ 2

Author(s):

Jason R. Blevins

Keyword(s):

Discrete Time ◽

Continuous Time ◽

Time Data ◽

Continuous Time Models

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An optimal execution problem with market impact

Finance and Stochastics ◽

10.1007/s00780-014-0232-0 ◽

2014 ◽

Vol 18 (3) ◽

pp. 695-732 ◽

Cited By ~ 12

Author(s):

Takashi Kato

Keyword(s):

Market Impact ◽

Optimal Execution ◽

Optimal Execution Problem

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A new sliding mode observer for systems with continuous-time models and discrete-time measurements

2017 29th Chinese Control And Decision Conference (CCDC) ◽

10.1109/ccdc.2017.7979451 ◽

2017 ◽

Author(s):

Yuan Tian ◽

Wen Chen ◽

L.-Y. Wang ◽

F. Lin

Keyword(s):

Discrete Time ◽

Continuous Time ◽

Sliding Mode ◽

Sliding Mode Observer ◽

Continuous Time Models

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A series of discrete-time models of a continuous-time system based on fluency signal approximation

Proceedings of IEEE Pacific Rim Conference on Communications Computers and Signal Processing ◽

10.1109/pacrim.1993.407314 ◽

2002 ◽

Author(s):

S. Bambang ◽

K. Toraichi ◽

M. Iwaki ◽

H. Inaba

Keyword(s):

Discrete Time ◽

Continuous Time ◽

Time System ◽

Discrete Time Models ◽

Signal Approximation ◽

Continuous Time System

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Optimal Execution for Uncertain Market Impact: Derivation and Characterization of a Continuous-Time Value Function

Recent Advances in Financial Engineering 2012 ◽

10.1142/9789814571647_0005 ◽

2014 ◽

Author(s):

Kensuke Ishitani ◽

Takashi Kato

Keyword(s):

Continuous Time ◽

Value Function ◽

Market Impact ◽

Time Value ◽

Optimal Execution

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