Journal of Financial Markets · 2002 · 71 citations · 14 references
Natural SciencesEconomicsOperations ManagementInternational TradeOptimizationCombinatorial OptimizationRevenue OptimizationOptimal ExecutionOptimal Trade ExecutionSliceTransaction Cost Minimization
14
A Theory of Intraday Patterns: Volume and Price Variability
Anat R. Admati, Paul Pfleiderer · Review of Financial Studies · 1988 · 3.3K citations
A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
Peter K. Clark · Econometrica · 1973 · 2.8K citations · Full text
The Price Variability-Volume Relationship on Speculative Markets
George Tauchen, Mark Pitts · Econometrica · 1983 · 1.5K citations
Social Sciences, Economics, Finance +14
Optimal control of execution costs
Dimitris Bertsimas, Andrew W. Lo · Journal of Financial Markets · 1998 · 1.1K citations