22 citations · 60 across the 23 of their papers we have counts for
3 papers · 1 filter
Self-exciting price impact via negative resilience in stochastic order books
Julia Ackermann, Thomas Kruse, Mikhail Urusov
Most of the existing literature on optimal trade execution in limit order book models assumes that resilience is positive. But negative resilience also has a natural interpretation…
Optimal trade execution in an order book model with stochastic liquidity parameters
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 which both order book depth and res…
Optimal trade execution and price manipulation in order books with time-varying liquidity
Antje Fruth, Torsten Schoeneborn, Mikhail Urusov
In financial markets, liquidity is not constant over time but exhibits strong seasonal patterns. In this article we consider a limit order book model that allows for time-dependent…