Optimal execution strategies in limit order books with general shape functions

Optimal execution strategies in limit order books with general shape functions

We consider optimal execution strategies for block market orders placed in a limit order book (LOB). We build on the resilience model proposed by Obizhaeva and Wang (2005) but allow for a general shape of the LOB defined via a given density function. Thus, we can allow for empirically observed LOB shapes and obtain a nonlinear price impact of market orders. We distinguish two possibilities for ...

Optimal Execution in a General One-Sided Limit-Order Book

We construct an optimal execution strategy for the purchase of a large number of shares of a financial asset over a fixed interval of time. Purchases of the asset have a nonlinear impact on price, and this is moderated over time by resilience in the limit-order book that determines the price. The limit-order book is permitted to have arbitrary shape. The form of the optimal execution strategy i...

Optimal execution and price manipulations in time-varying limit order books

Abstract: This paper focuses on an extension of the Limit Order Book (LOB) model with general shape introduced by Alfonsi, Fruth and Schied [2]. Here, the additional feature allows a time-varying LOB depth. We solve the optimal execution problem in this framework for both discrete and continuous time strategies. This gives in particular sufficient conditions to exclude Price Manipulations in th...

Ic1 Optimal Execution in a General One-sided Limit Order Book Ic2 Stable Diffusions with Rank-based Interactions, and Models of Large Equity Markets Ic3 Simulation Schemes for Stopped Lvy Processes Ic5 Optimal Order Placement in Limit Order Books

not available at time of publication. Marco Avellaneda Courant Institute New York University [email protected] IC5 Optimal Order Placement in Limit Order Books Abstract not available at time of publication.not available at time of publication. Xin Guo University of California, Berkeley [email protected] IC6 Quantitative Absence of Arbitrage and Equivalent Changes of Measure It i...

Optimal trade execution of equities in a limit order market