Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem

DOI10.1137/110822098zbMath1255.91412OpenAlexW3121488946MaRDI QIDQ4902224

Alla Slynko, Aurélien Alfonsi, Alexander Schied

Publication date: 25 January 2013

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/110822098

zbMATH Keywords

positive definite functionmarket impact modeltransient price impactprice manipulationoptimal order executionBochner formno short sales in Markowitz portfoliotrans-action-triggered price manipulation

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Interest rates, asset pricing, etc. (stochastic models) (91G30) Positive definite functions in one variable harmonic analysis (42A82) Auctions, bargaining, bidding and selling, and other market models (91B26) Quadratic and bilinear forms, inner products (15A63)

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