OPTIMAL TRADE EXECUTION AND PRICE MANIPULATION IN ORDER BOOKS WITH TIME-VARYING LIQUIDITY
DOI10.1111/mafi.12022zbMath1314.91194arXiv1109.2631OpenAlexW3121398783MaRDI QIDQ2927946
Antje Fruth, Torsten Schöneborn, Mikhail A. Urusov
Publication date: 5 November 2014
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1109.2631
market impact modelresiliencelimit order bookprice manipulationoptimal order executiontime-varying liquiditytransaction-triggered price manipulation
Microeconomic theory (price theory and economic markets) (91B24) Auctions, bargaining, bidding and selling, and other market models (91B26) Portfolio theory (91G10)
Related Items (14)
Cites Work
- Curve following in illiquid markets
- No-dynamic-arbitrage and market impact
- Optimal Execution in a General One-Sided Limit-Order Book
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- TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS
- Optimal execution strategies in limit order books with general shape functions
- Price Manipulation and Quasi-Arbitrage
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