Optimal Execution and Price Manipulations in Time-varying Limit Order Books

DOI10.1080/1350486X.2013.845471zbMath1395.91394arXiv1204.2736OpenAlexW2127517227MaRDI QIDQ4586029

Aurélien Alfonsi, José Acevedo

Publication date: 11 September 2018

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

Full work available at URL: https://arxiv.org/abs/1204.2736

zbMATH Keywords

market impact modellimit order bookprice manipulationmarket makersoptimal order executiontransaction-triggered price manipulation

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (5)

Optimal portfolio execution under time-varying liquidity constraints ⋮ Price manipulation in a market impact model with dark pool ⋮ Spoofing and Price Manipulation in Order-Driven Markets ⋮ Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models ⋮ Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Liquidity risk and arbitrage pricing theory
• More statistical properties of order books and price impact
• No-dynamic-arbitrage and market impact
• Optimal Execution in a General One-Sided Limit-Order Book
• Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models
• 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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