LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY
Author:
Affiliation:
1. Department of Mathematics, University of Michigan
2. Department of Statistics and Applied Probability, University of California Santa Barbara
Publisher
Wiley
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9965.2012.00529.x/fullpdf
Reference28 articles.
1. Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models;Alfonsi;SIAM J. Financial Math.,2010
2. Optimal Execution Strategies in Limit Order Books with General Shape Functions;Alfonsi;Quant. Finance,2010
3. Optimal Execution with Nonlinear Impact Functions and Trading-Enhanced Risk;Almgren;Appl. Math. Finance,2003
4. Optimal Execution of Portfolio Transactions;Almgren;Journal of Risk,2000
5. High-Frequency Trading in a Limit Order Book;Avellaneda;Quant. Finance,2008
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