Decentralised finance and automated market making: Execution and speculation
Authors:
- Álvaro CarteaÁCÁlvaro Cartea
- Fayçal DrissiFDFayçal Drissi
- Marcello MongaMMMarcello Monga
Top Cited Papers
Open Access
- 23 June 2025
- journal article
- Published by Elsevier in Journal of Economic Dynamics and Control
- Vol. 177
Abstract
No abstract availableAll Related Versions
Funding Information
- King's College London
- Engineering and Physical Sciences Research Council (EP/S023925/1)
This publication has 30 references indexed in Scilit:
- Replicating market makersDigital Finance, 2023
- Solvability of Differential Riccati Equations and Applications to Algorithmic Trading with SignalsApplied Mathematical Finance, 2022
- Optimal Execution: A ReviewApplied Mathematical Finance, 2022
- Incorporating signals into optimal tradingFinance and Stochastics, 2019
- Smooth solutions to portfolio liquidation problems under price-sensitive market impactStochastic Processes and their Applications, 2018
- Enhancing trading strategies with order book signalsApplied Mathematical Finance, 2018
- Incorporating order-flow into optimal executionMathematics and Financial Economics, 2016
- Optimal Trade Execution Under Stochastic Volatility and LiquidityApplied Mathematical Finance, 2014
- Discrete and continuous time cointegrationJournal of Econometrics, 1999
- Optimal control of execution costsJournal of Financial Markets, 1998