2 papers
q-fin.CP2020
Optimal execution with liquidity risk in a diffusive order book market
Hyoeun Lee, Kiseop Lee
We study the optimal order placement strategy with the presence of a liquidity cost. In this problem, a stock trader wishes to clear her large inventory by a predetermined time hor…
q-fin.TR2017
Optimal placement of a small order in a diffusive limit order book
José E. Figueroa-López, Hyoeun Lee, Raghu Pasupathy
We study the optimal placement problem of a stock trader who wishes to clear his/her inventory by a predetermined time horizon t, by using a limit order or a market order. For a di…