Optimal execution strategies in limit order books with general shape functions
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Publication:5190130
DOI10.1080/14697680802595700zbMath1185.91199arXiv0708.1756MaRDI QIDQ5190130
Antje Fruth, Alexander Schied, Aurélien Alfonsi
Publication date: 12 March 2010
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0708.1756
market impact model; optimal portfolio liquidation; liquidity risk; limit order book; market order; block trade execution
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