Optimal execution strategies in limit order books with general shape functions

@article{Alfonsi2007OptimalES,
  title={Optimal execution strategies in limit order books with general shape functions},
  author={A. Alfonsi and A. Fruth and A. Schied},
  journal={Quantitative Finance},
  year={2007},
  volume={10},
  pages={143 - 157}
}
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 allow for a general shape of the LOB defined via a given density function. Thus, we can allow for empirically observed LOB shapes and obtain a nonlinear price impact of market orders. We distinguish two possibilities for modelling the resilience of the LOB after a large market order: the exponential recovery of the number… Expand
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