Optimal trading strategy and supply/demand dynamics

Journal of Financial Markets

Volumn 16, Issue 1, 2013, Pages 1-32

  Obizhaeva, Anna A ^a   Wang, Jiang ^b,c,d  

^a UNIVERSITY OF MARYLAND   (United States)

^b MASSACHUSETTS INSTITUTE OF TECHNOLOGY   (United States)

^c Shanghai Jiao Tong University   (China)

^d NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

Author keywords

Limit order book; Liquidity; Optimal order execution; Trading

Indexed keywords

EID: 84872159809     PISSN: 13864181     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.finmar.2012.09.001     Document Type: Article

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