Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models
Sign Up to like & getrecommendations! Published in 2021 at "Finance and Stochastics"
DOI: 10.1007/s00780-021-00464-5
Abstract: We analyze an optimal trade execution problem in a financial market with stochastic liquidity. To this end we set up a limit order book model in continuous time. Both order book depth and resilience are… read more here.
Keywords: execution; trade execution; optimal trade; order book ... See more keywords