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Multivariate transient price impact and matrix-valued positive definite functionsMathematics of Operations Research, 2016, ⟨10.1287/moor.2015.0761⟩
Journal articles
hal-00919895v1
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Capacitary measures for completely monotone kernels via singular controlSIAM Journal on Control and Optimization, 2013, 51 (2), pp.1758-1780. ⟨10.1137/120862223⟩
Journal articles
hal-00659421v2
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Order Book Resilience, Price Manipulation, and the Positive Portfolio ProblemSIAM Journal on Financial Mathematics, 2012, 3, pp.511-533. ⟨10.1137/110822098⟩
Journal articles
hal-00941333v1
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Optimal trade execution and absence of price manipulations in limit order book modelsSIAM Journal on Financial Mathematics, 2010, 1, pp.490-522. ⟨10.1137/090762786⟩
Journal articles
hal-00397652v3
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Optimal execution strategies in limit order books with general shape functionsQuantitative Finance, 2010, 10 (2), pp.143-157. ⟨10.1080/14697680802595700⟩
Journal articles
hal-00166969v3
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