Optimal execution and price manipulations in time-varying limit order books

DOI10.1080/1350486X.2013.845471MaRDI QIDQ4586029zbMATH OpenOpenAlexFDO

Authors Aurélien Alfonsi, José Acevedo

Publication date 11 September 2018

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1204.2736

zbMATH Keywords

limit order bookmarket impact modelmarket makersoptimal order executionprice manipulationtransaction-triggered price manipulation

Mathematics Subject Classification ID

Portfolio theory (91G10)

Abstract: This paper focuses on an extension of the Limit Order Book (LOB) model with general shape introduced by Alfonsi, Fruth and Schied. Here, the additional feature allows a time-varying LOB depth. We solve the optimal execution problem in this framework for both discrete and continuous time strategies. This gives in particular sufficient conditions to exclude Price Manipulations in the sense of Huberman and Stanzl or Transaction-Triggered Price Manipulations (see Alfonsi, Schied and Slynko). These conditions give interesting qualitative insights on how market makers may create or not price manipulations.

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Cites work

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• Optimal execution strategies in limit order books with general shape functions
• Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models
• Order book resilience, price manipulation, and the positive portfolio problem
• Price Manipulation and Quasi-Arbitrage
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• Transient linear price impact and Fredholm integral equations

Cited in

(18)

• Optimal order display in limit order markets with liquidity competition
• A limit order book model for latency arbitrage
• Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models
• Dynamic optimal execution in a mixed-market-impact Hawkes price model
• Optimization of stock trading with additional information by limit order book
• Optimal trade execution and price manipulation in order books with time-varying liquidity
• Optimal Execution in a General One-Sided Limit-Order Book
• Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models
• Time-trend free run orders with the minimum level changes
• Optimal trade execution in an order book model with stochastic liquidity parameters
• Spoofing and price manipulation in order-driven markets
• Optimal portfolio execution under time-varying liquidity constraints
• Price manipulation in a market impact model with dark pool
• Optimal trade execution in order books with stochastic liquidity
• A Stackelberg order execution game
• Reducing Obizhaeva-Wang-type trade execution problems to LQ stochastic control problems
• Option Market Making with Hedging-Induced Market Impact
• Multi-asset optimal trade execution with stochastic cross-effects: an Obizhaeva-Wang-type framework

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