Optimal placement in a limit order book: an analytical approach

Derivative securities (option pricing, hedging, etc.) (91G20) Sums of independent random variables; random walks (60G50) Markov and semi-Markov decision processes (90C40)

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Cites work

scientific article; zbMATH DE number 3115413 (Why is no real title available?)
scientific article; zbMATH DE number 3374705 (Why is no real title available?)
A Law of Large Numbers for Limit Order Books
A Note on the Central Limit Theorems for Dependent Random Variables
A guide to first-passage processes
A weak law of large numbers for a limit order book model with fully state dependent order dynamics
Algorithmic and high-frequency trading
An explicit solution of a nonlinear-quadratic constrained stochastic control problem with jumps: optimal liquidation in dark pools with adverse selection
Basic properties of strong mixing conditions. A survey and some open questions
Buy Low, Sell High: A High Frequency Trading Perspective
High-frequency trading in a limit order book
Inference for a Nonstationary Self-Exciting Point Process with an Application in Ultra-High Frequency Financial Data Modeling
Liquidation in limit order books with controlled intensity
Long-time behavior of a Hawkes process-based limit order book
Modelling Asset Prices for Algorithmic and High-Frequency Trading
ON DIFFUSION BY DISCONTINUOUS MOVEMENTS, AND ON THE TELEGRAPH EQUATION
OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
Optimal Execution in a General One-Sided Limit-Order Book
Optimal asset liquidation with multiplicative transient price impact
Optimal basket liquidation for CARA investors is deterministic
Optimal control of trading algorithms: a general impulse control approach
Optimal execution strategies in limit order books with general shape functions
Optimal execution with multiplicative price impact
Optimal execution with nonlinear impact functions and trading-enhanced risk
Optimal high-frequency trading with limit and market orders
Optimal market making in the foreign exchange market
Optimal order placement in limit order markets
Optimal portfolio liquidation with limit orders
Optimal trade execution under stochastic volatility and liquidity
Optimal trade execution: a mean quadratic variation approach
Order book resilience, price manipulation, and the positive portfolio problem
Price dynamics in a Markovian limit order market
Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
THE GAMBLER'S RUIN PROBLEM WITH CORRELATION
The correlated random walk
Weak reflection principle for Lévy processes

Cited in

(13)

Dynamic limit order placement strategies: survival analysis with a multiple-spell duration model
Order execution probability and order queue in limit order markets
Reflection principle for finite-velocity random motions
Limit order placement as an utility maximization problem and the origin of power law distribution of limit order prices
Optimal decisions in a time priority queue
Optimal order execution using hidden orders
Optimal hedging through limit orders
Optimal liquidity-based trading tactics
Optimal market-making strategies under synchronised order arrivals with deep neural networks
Optimal order placement in limit order markets
Optimal market making in the presence of latency
Optimal liquidation in a limit order book for a risk-averse investor
Market or limit orders?

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