High-Resilience Limits of Block-Shaped Order Books

Author:

Kallsen Jan,Muhle-Karbe Johannes

Publisher

Elsevier BV

Reference27 articles.

1. Optimal execution strategies in limit order books with general shape functions;A Alfonsi;Quant. Finance,2010

2. Optimal execution with nonlinear impact functions and trading-enhanced risk;R F Almgren;Appl. Math. Finance,2003

3. Value under liquidation;R F Almgren;Risk,1999

4. Optimal execution of portfolio transactions;R F Almgren;J. Risk,2001

Cited by 4 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. Portfolio Choice with Small Temporary and Transient Price Impact;SSRN Electronic Journal;2018

2. Mini-Flash Crashes, Model Risk, and Optimal Execution;SSRN Electronic Journal;2017

3. Hedging with temporary price impact;Mathematics and Financial Economics;2016-10-06

4. Hedging with Temporary Price Impact;SSRN Electronic Journal;2016

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