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Etienne Chevalier, Yadh Hafsi, Vathana Ly Vath, Sergio Pulido

Public reference bibliography and cataloged PDF materials authored or published by Etienne Chevalier, Yadh Hafsi, Vathana Ly Vath, Sergio Pulido.

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Optimal Execution under Liquidity Uncertainty

Year: 2025 • Source: hal.science • Listed PDF

We study an optimal execution strategy for purchasing a large block of shares over a fixed time horizon. The execution problem is subject to a general price impact that gradually dissipates due to market resilience. This...