On a stochastic differential equation arising in a price impact model
On Financial Markets Based on Telegraph Processes
On information efficiency and financial stability
Optimal execution and price manipulations in time-varying limit order books
Optimal Execution Problem for Geometric Ornstein-Uhlenbeck Price Process
Optimal Execution Problem with Market Impact
Optimal execution strategies in limit order books with general shape functions
Optimal High Frequency Trading with limit and market orders
Optimal Portfolio Liquidation with Limit Orders
Optimal posting distance of limit orders: a stochastic algorithm approach
Optimal split of orders across liquidity pools: a stochastic algorithm approach
Optimal trade execution and price manipulation in order books with time-varying liquidity
Optimal Trade Execution in Illiquid Markets
Optimal Trading Execution with Nonlinear Market Impact: An Alternative Solution Method
Optimizing a basket against the efficient market hypothesis
Order book dynamics in liquid markets: limit theorems and diffusion approximations
Order flow dynamics around extreme price changes on an emerging stock market
Outsider Trading