OPTIMAL TRADE EXECUTION AND PRICE MANIPULATION IN ORDER BOOKS WITH TIME-VARYING LIQUIDITY

DOI10.1111/mafi.12022zbMath1314.91194arXiv1109.2631OpenAlexW3121398783MaRDI QIDQ2927946

Antje Fruth, Torsten Schöneborn, Mikhail A. Urusov

Publication date: 5 November 2014

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

Full work available at URL: https://arxiv.org/abs/1109.2631

zbMATH Keywords

market impact modelresiliencelimit order bookprice manipulationoptimal order executiontime-varying liquiditytransaction-triggered price manipulation

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Auctions, bargaining, bidding and selling, and other market models (91B26) Portfolio theory (91G10)

Related Items (14)

Multivariate Transient Price Impact and Matrix-Valued Positive Definite Functions ⋮ Applying regression techniques in designing optimal trade execution strategy for an asset ⋮ Drift dependence of optimal trade execution strategies under transient price impact ⋮ Portfolio liquidation games with self‐exciting order flow ⋮ Optimal portfolio trading subject to stochastic dominance constraints under second‐order autoregressive price dynamics ⋮ Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience ⋮ Optimal portfolio execution under time-varying liquidity constraints ⋮ Optimal execution with regime-switching market resilience ⋮ Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models ⋮ DISCRETE-TIME OPTIMAL EXECUTION UNDER A GENERALIZED PRICE IMPACT MODEL WITH MARKOVIAN EXOGENOUS ORDERS ⋮ A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy ⋮ Multi-dimensional optimal trade execution under stochastic resilience ⋮ A trade execution model under a composite dynamic coherent risk measure ⋮ Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters

Cites Work

• Curve following in illiquid markets
• No-dynamic-arbitrage and market impact
• Optimal Execution in a General One-Sided Limit-Order Book
• A Stochastic Model for Order Book Dynamics
• Continuous Auctions and Insider Trading
• Optimal execution with nonlinear impact functions and trading-enhanced risk
• TENOR SPECIFIC PRICING
• Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem
• TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS
• Optimal execution strategies in limit order books with general shape functions
• Price Manipulation and Quasi-Arbitrage

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