Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters

DOI10.1137/20M135409XzbMath1471.91522arXiv2006.05843MaRDI QIDQ4958393

Julia Ackermann, Thomas Kruse, Mikhail A. Urusov

Publication date: 8 September 2021

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.05843

zbMATH Keywords

limit order bookoptimal trade executiondiscrete-time stochastic optimal controlstochastic order book depthstochastic resiliencelong-time horizon limitpremature closureprofitable round trip

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic processes (60G99) Financial markets (91G15)

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Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models ⋮ Optimal Execution: A Review

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