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On effects of negative resilience on optimal trade execution in stochastic order books

Year
2021
Secondary
https://storage.googleapis.com/public-quant/integrate/papers/On%20effects%20of%20negative%20resilience%20on%20optimal%20trade%20execution%20in%20stochastic%20order%20books.pdf
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https://mega.co.nz/#!6aIUnQzK!D24bnVWPnMPg2D-cXkECJzZLw6GNK87GyGdGuJlwc-s
Abstract
Annals of Operations Research - 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...
Author
J Ackermann;T Kruse;M Urusov
View
https://sci-hub.st/
Journal
https://arxiv.org/abs/2112.03789
Published
2022/09/20
Retrieved
2022/09/20 14:25
DOI
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