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math.PR2020
Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models
Julia Ackermann, Thomas Kruse, Mikhail Urusov
We analyze an optimal trade execution problem in a financial market with stochastic liquidity. To this end we set up a limit order book model in continuous time. Both order book de…
math.PR2020
Properties of the EMCEL scheme for approximating irregular diffusions
Stefan Ankirchner, Thomas Kruse, Wolfgang Löhr +1
We prove several properties of the EMCEL scheme, which is capable of approximating one-dimensional continuous strong Markov processes in distribution on the path space (the scheme…