Optimal trade execution in order books with stochastic liquidity

DOI10.1111/mafi.12180zbMath1411.91500OpenAlexW2884980930MaRDI QIDQ5377182

Antje Fruth, Torsten Schöneborn, Mikhail A. 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

market impact modelresiliencelimit order bookstochastic order book depthoptimal order executiontime-varying liquidityprofitable round trip trading strategies

Mathematics Subject Classification ID

Portfolio theory (91G10)

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