Optimal trade execution and absence of price manipulations in limit order book models

SIAM Journal on Financial Mathematics

Volumn 1, Issue 1, 2010, Pages 490-522

  Alfonsi, Aurelien ^a   Schied, Alexander ^b  

^a UNIVERSITÉ PARIS EST   (France)

^b UNIVERSITY OF MANNHEIM   (Germany)

Author keywords

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

Indexed keywords

EID: 84862022504     PISSN: None     EISSN: 1945497X     Source Type: Journal    
DOI: 10.1137/090762786     Document Type: Article

References (20)

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