Optimal execution and price manipulations in time-varying limit order books (Q4586029)
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scientific article; zbMATH DE number 6934892
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| English | Optimal execution and price manipulations in time-varying limit order books |
scientific article; zbMATH DE number 6934892 |
Statements
Optimal Execution and Price Manipulations in Time-varying Limit Order Books (English)
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11 September 2018
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market impact model
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optimal order execution
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limit order book
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market makers
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price manipulation
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transaction-triggered price manipulation
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0.9031718969345092
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0.8907671570777893
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0.8607801198959351
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0.8560307025909424
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0.8521435260772705
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