This paper addresses portfolio liquidation using a new angle. Instead of focusing only on the
scheduling aspect like Almgren and Chriss in [J. Risk, 3 (2000), pp. 5--39], or only on the …

This book exposes and comments on the consequences of Reg NMS and MiFID on market
microstructure. It covers changes in market design, electronic trading, and investor and …

In recent years, academics, regulators, and market practitioners have increasingly
addressed liquidity issues. Among the numerous problems addressed, the optimal …

The classical literature on optimal liquidation, rooted in Almgren–Chriss models, tackles the
optimal liquidation problem using a trade‐off between market impact and price risk. It …

We propose a general framework for intraday trading based on the control of trading
algorithms. Given a set of generic parameterized algorithms (which have to be specified by …

Evolutions of the trading landscape lead to the capability to exchange the same financial
instrument on different venues. Because of liquidity issues, the trading firms split large …

The thesis studies algorithmic trading problems for liquidity takers (LTs) and liquidity
providers (LPs) in traditional electronic markets and in decentralised trading platforms that …

A great deal of academic and theoretical work has been dedicated to optimal liquidation of
large orders these last twenty years. The optimal split of an order through time (optimal trade …

Market making and optimal portfolio liquidation in the context of electronic limit order books
are of considerably practical importance for high frequency (HF) market makers as well as …

The efficient frontier is a core concept in Modern Portfolio Theory. Based on this idea, we will
construct optimal trading curves for different types of portfolios. These curves correspond to …