%0 Journal Article %T Dynamic optimal execution in a mixed-market-impact Hawkes price model %+ Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique (CERMICS) %+ Mathematical Risk Handling (MATHRISK) %A Alfonsi, Aurélien %A Blanc, Pierre %< avec comité de lecture %@ 0949-2984 %J Finance and Stochastics %I Springer Verlag (Germany) %8 2016-01 %D 2016 %Z 1404.0648 %R 10.1007/s00780-015-0282-y %Z Quantitative Finance [q-fin]/Trading and Market Microstructure [q-fin.TR] %Z Mathematics [math]/Probability [math.PR]Journal articles %X We study a linear price impact model including other liquidity takers, whose flow of orders either follows a Poisson or a Hawkes process. The optimal execution problem is solved explicitly in this context, and the closed-formula optimal strategy describes in particular how one should react to the orders of other traders. This result enables us to discuss the viability of the market. It is shown that Poissonian arrivals of orders lead to quite robust Price Manipulation Strategies in the sense of Huberman and Stanzl. Instead, a particular set of conditions on the Hawkes model balances the self-excitation of the order flow with the resilience of the price, excludes Price Manipulation Strategies and gives some market stability. %G English %2 https://enpc.hal.science/hal-00971369v2/document %2 https://enpc.hal.science/hal-00971369v2/file/Hawkes_MI_FS_20140915.pdf %L hal-00971369 %U https://enpc.hal.science/hal-00971369 %~ ENPC %~ INRIA %~ INRIA-ROCQ %~ CERMICS %~ AO-ECONOMIE %~ INSMI %~ PARISTECH %~ TESTALAIN1 %~ INRIA2 %~ UNIV-EIFFEL %~ UPEM-UNIVEIFFEL %~ INRIAARTDOI