Optimal Liquidation in a Level-I Limit Order Book for Large Tick Stocks
نویسندگان
چکیده
منابع مشابه
Constrained Portfolio Liquidation in a Limit Order Book Model
We consider the problem of optimally placing market orders so as to minimize the expected liquidity costs from buying a given amount of shares. The liquidity price impact of market orders is described by an extension of a model for a limit order book with resilience that was proposed by Obizhaeva and Wang (2006). We extend their model by allowing for a time-dependent resilience rate, arbitrary ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2017
ISSN: 1556-5068
DOI: 10.2139/ssrn.2895765