Liquidation in Limit Order Books with Controlled Intensity

  title={Liquidation in Limit Order Books with Controlled Intensity},
  author={Erhan Bayraktar and Michael Ludkovski},
We consider a framework for solving optimal liquidation problems in limit order books. In particular, order arrivals are modeled as a point process whose intensity depends on the liquidation price. We set up a stochastic control problem in which the goal is to maximize the expected revenue from liquidating the entire position held. We solve this optimal liquidation problem for power-law and exponential-decay order book models explicitly and discuss several extensions. We also consider the… CONTINUE READING
Highly Cited
This paper has 33 citations. REVIEW CITATIONS

Similar Papers

Loading similar papers…