Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem
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Elsevier BV
Reference26 articles.
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1. OPTIMAL TRADE EXECUTION AND PRICE MANIPULATION IN ORDER BOOKS WITH TIME-VARYING LIQUIDITY;Mathematical Finance;2013-02-11
2. Optimal Liquidation in Dark Pools;SSRN Electronic Journal;2012
3. Optimal Trade Execution and Price Manipulation in Order Books with Time-Varying Liquidity;SSRN Electronic Journal;2011
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5. Optimal Basket Liquidation for CARA Investors is Deterministic;SSRN Electronic Journal;2010
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