Optimal execution strategies in limit order books with general shape functions

Quantitative Finance

Volumn 10, Issue 2, 2010, Pages 143-157

  Alfonsi, Aurélien ^a   Fruth, Antje ^b   Schied, Alexander ^c  

^a UNIVERSITÉ PARIS EST   (France)

^b Quantitative Products Laboratory   (Germany)

^c TECHNICAL UNIVERSITY OF MUNICH   (Germany)

Author keywords

Block trade execution; Limit order book; Liquidity risk; Market impact model; Market order; Optimal portfolio liquidation

Indexed keywords

EID: 75849149693     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697680802595700     Document Type: Article

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