We are giving a mini course on optimal liquidation models at Soochow University. The following papers will be reviewed:
- Optimal trade execution under endogenous order flow (Y. Chen, U. Horst & H.H. Tran)
- Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies (U. Horst, E. Kivman)
- Portfolio liquidation games with self exciting order flow (G. Fu, U.Horst, X. Xia)
- A mean-field game of optimal portfolio liquidation, Mathematics of Operations Research, 46(4):1250-1281 (2021) (Guanxing Fu, Paulwin Graewe, Ulrich Horst & Alexandre Popier)
- Optimal trade execution with instantaneous price impact and stochastic resilience; SIAM J. Control and Optimization, 55(6), 3707–3725 (2017) (Paulwin Graewe & Ulrich Horst)