Optimal trade execution in order books with stochastic liquidity
Author:
Affiliation:
1. Munich RE; Munich Germany
2. Deutsche Bank AG; London UK
3. University of Duisburg-Essen, Faculty of Mathematics; Essen Germany
Publisher
Wiley
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/mafi.12180/fullpdf
Reference33 articles.
1. A parametric nonlinear model of term structure dynamics;Ahn;Review of Financial Studies,1999
2. Optimal execution and price manipulations in time-varying limit order books;Alfonsi;Applied Mathematical Finance,2014
3. Optimal execution strategies in limit order books with general shape functions;Alfonsi;Quantitative Finance,2010
4. Optimal trade execution and absence of price manipulations in limit order book models;Alfonsi;SIAM Journal on Financial Mathematics,2010
5. Order book resilience, price manipulation, and the positive portfolio problem;Alfonsi;SIAM Journal on Financial Mathematics,2012
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