LIQUIDATION IN LIMIT ORDER BOOKS WITH CONTROLLED INTENSITY
نویسندگان
چکیده
منابع مشابه
Liquidation in Limit Order Books with Controlled Intensity
We consider a framework for solving optimal liquidation problems in limit order books. In particular, order arrivals are modeled as a point process whose intensity depends on the liquidation price. We set up a stochastic control problem in which the goal is to maximize the expected revenue from liquidating the entire position held. We solve this optimal liquidation problem for power-law and exp...
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ژورنال
عنوان ژورنال: Mathematical Finance
سال: 2012
ISSN: 0960-1627
DOI: 10.1111/j.1467-9965.2012.00529.x