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q-fin.TR2013★ 1 cited
Optimal Order Scheduling for Deterministic Liquidity Patterns
Peter Bank, Antje Fruth
We consider a broker who has to place a large order which consumes a sizable part of average daily trading volume. The broker's aim is thus to minimize execution costs he incurs fr…
q-fin.TR2011
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…
q-fin.TR2007
Optimal execution strategies in limit order books with general shape functions
Aurélien Alfonsi, Antje Fruth, Alexander Schied
We consider optimal execution strategies for block market orders placed in a limit order book (LOB). We build on the resilience model proposed by Obizhaeva and Wang (2005) but allo…