Optimal Execution and Price Manipulations in Time-varying Limit Order Books
Author:
Publisher
Informa UK Limited
Subject
Applied Mathematics,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/1350486X.2013.845471
Reference18 articles.
1. Constrained portfolio liquidation in a limit order book model
2. Optimal execution strategies in limit order books with general shape functions
3. Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models
4. Optimal execution of portfolio transactions
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