Games have always been a strong driving force in artificial intelligence. In the last ten years huge improvements have been made in perfect information games like chess and othello and the strongest computer agents can beat the strongest human players. This is not the case for imperfect information games such as poker and bridge where creating an expert computer player has shown to be much hard...

A model is proposed to study optimal trading strategies in a limit order book, as typically arise when a trader has a block of shares to liquidate and she submits limit orders. The execution of limit orders is uncertain, which leads to a stochastic control problem. In contrast to previous literature, we allow the trader to choose both the quotes and the sizes of her submitted orders. Great atte...

This paper addresses the optimal scheduling of the liquidation of a portfolio using a new angle. Instead of focusing only on the scheduling aspect like Almgren and Chriss in [2], or only on the liquidity-consuming orders like Obizhaeva and Wang in [31], we link the optimal trade-schedule to the price of the limit orders that have to be sent to the limit order book to optimally liquidate a portf...