Trading with small nonlinear price impact T Cayé, M Herdegen, J Muhle-Karbe The Annals of Applied Probability 30 (2), 706-746, 2020 | 13 | 2020 |
Liquidation with self-exciting price impact T Cayé, J Muhle-Karbe Mathematics and Financial Economics 10, 15-28, 2016 | 12 | 2016 |
Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case E Bayraktar, T Cayé, I Ekren Mathematical Finance 31 (1), 36-108, 2021 | 8 | 2021 |
Scaling limits of processes with fast nonlinear mean reversion T Cayé, M Herdegen, J Muhle-Karbe Stochastic Processes and their Applications 130 (4), 1994-2031, 2020 | 3 | 2020 |
Trading with small nonlinear price impact: Optimal execution and rebalancing of active investments T Cayé ETH Zurich, 2017 | 1 | 2017 |