Optimal Liquidation in Dark Pools

Continuous Auctions and Insider Trading

Albert S. Kyle · Econometrica · 1985 · 10K citations

Business, Economics, Auction Theory +12

Bid, ask and transaction prices in a specialist market with heterogeneously informed traders

Lawrence R. Glosten, Paul Milgrom · Journal of Financial Economics · 1985 · 6.4K citations

Social Sciences, Economics, Auction Theory +7

Optimal execution of portfolio transactions

Robert Almgren, Neil Chriss · The Journal of Risk · 2001 · 1.6K citations

Business, Finance, Financial Management +17

Optimal control of execution costs

Dimitris Bertsimas, Andrew W. Lo · Journal of Financial Markets · 1998 · 1.1K citations

Natural Sciences, Operations Management, Optimization +8

Presidential Address: Asset Price Dynamics with Slow‐Moving Capital

Darrell Duffie · The Journal of Finance · 2010 · 896 citations

Business, Economics, Finance +12