Order book resilience, price manipulation, and the positive portfolio problem

SIAM Journal on Financial Mathematics

Volumn 3, Issue 1, 2012, Pages 511-533

  Alfonsi, Aurélien ^a   Schied, Alexander ^b   Slynko, Alla ^b  

^a INRIA   (France)

^b UNIVERSITY OF MANNHEIM   (Germany)

Author keywords

Bochner form; Market impact model; No short sales in Markowitz portfolio; Optimal order execution; Positive definite function; Price manipulation; Transaction triggered price manipulation; Transient price impact

Indexed keywords

EID: 84872545368     PISSN: None     EISSN: 1945497X     Source Type: Journal    
DOI: 10.1137/110822098     Document Type: Article

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