1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.TR2020★ 1 cited
Optimal liquidation for a risk averse investor in a one-sided limit order book driven by a Levy process
Arne Lokka, Junwei Xu
In a one-sided limit order book, satisfying some realistic assumptions, where the unaffected price process follows a Levy process, we consider a market agent that wants to liquidat…
q-fin.TR2020
Optimal liquidation trajectories for the Almgren-Chriss model with Levy processes
Arne Lokka, Junwei Xu
We consider an optimal liquidation problem with infinite horizon in the Almgren-Chriss framework, where the unaffected asset price follows a Levy process. The temporary price impac…