Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models

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

zbMATH Keywords

market impact modeloptimal portfolio liquidationlimit order bookblock trade executionLiquidity riskprice manipulation strategies

Mathematics Subject Classification ID

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