Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models
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Publication:3580035
DOI10.1137/090762786zbMath1196.91025OpenAlexW3122421278MaRDI QIDQ3580035
Alexander Schied, Aurélien Alfonsi
Publication date: 11 August 2010
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/090762786
market impact modeloptimal portfolio liquidationlimit order bookblock trade executionLiquidity riskprice manipulation strategies
Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20) Optimality conditions (49K99) Actuarial science and mathematical finance (91G99)
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