Optimal trade execution in order books with stochastic liquidity

DOI10.1111/MAFI.12180MaRDI QIDQ5377182zbMATH OpenOpenAlexFDO

Authors Antje Fruth, Torsten Schöneborn, Mikhail Urusov

Publication date 23 May 2019

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/mafi.12180

zbMATH Keywords

limit order bookmarket impact modeloptimal order executionprofitable round trip trading strategiesresiliencestochastic order book depthtime-varying liquidity

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cited in

(29)

• Optimal order display in limit order markets with liquidity competition
• Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions
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• Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models
• Multi-dimensional optimal trade execution under stochastic resilience
• Optimal trade execution and price manipulation in order books with time-varying liquidity
• Optimal liquidation in a limit order book for a risk-averse investor
• Optimal Order Scheduling for Deterministic Liquidity Patterns
• Optimal Execution in a General One-Sided Limit-Order Book
• Optimal trade execution in illiquid markets
• Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models
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• Short Communication: Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact
• Optimal trading with signals and stochastic price impact
• Optimal portfolio execution under time-varying liquidity constraints
• Optimal trade execution under price-sensitive risk preferences
• Optimal Execution: A Review
• The optimal investment problem with inflation and liquidity risk
• Duality theory for exponential utility-based hedging in the Almgren-Chriss model
• Optimal trade execution under small market impact and portfolio liquidation with semimartingale strategies
• Reducing Obizhaeva-Wang-type trade execution problems to LQ stochastic control problems
• Optimal liquidation with high risk aversion and small linear price impact
• Pricing American options with exogenous and endogenous transaction costs
• A note on optimal liquidation with linear price impact
• Optimal liquidation under indirect price impact with propagator
• Multi-asset optimal trade execution with stochastic cross-effects: an Obizhaeva-Wang-type framework
• A model for optimal execution of atomic orders

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