Optimal Execution in a General One-Sided Limit-Order Book

Optimal Execution in a General One-Sided Limit-Order Book and Endogenous Dynamic Completeness of Financial Models

Ic1 Optimal Execution in a General One-sided Limit Order Book Ic2 Stable Diffusions with Rank-based Interactions, and Models of Large Equity Markets Ic3 Simulation Schemes for Stopped Lvy Processes Ic5 Optimal Order Placement in Limit Order Books

not available at time of publication. Marco Avellaneda Courant Institute New York University [email protected] IC5 Optimal Order Placement in Limit Order Books Abstract not available at time of publication.not available at time of publication. Xin Guo University of California, Berkeley [email protected] IC6 Quantitative Absence of Arbitrage and Equivalent Changes of Measure It i...

Optimal execution strategies in limit order books with general shape functions

We consider optimal execution strategies for block market orders placed in a limit order book (LOB). We build on the resilience model proposed by Obizhaeva and Wang (2005) but allow for a general shape of the LOB defined via a given density function. Thus, we can allow for empirically observed LOB shapes and obtain a nonlinear price impact of market orders. We distinguish two possibilities for ...

Transparency & Quality: The Impact of Increasing Limit Order Book levels on Tehran Stock Exchange

Objective: One of the common tools used to make pre-trade transparency in financial markets is the Limit Order Book. In spite of several researches on the Limit Order Book, there is no consensus about the impact of increasing pre-trade transparency on market quality. Increasing the number of Limit Order Book levels from 3 to 5 levels, in May 2017, for online traders in Tehran Stock Exchange, ga...

Optimal execution and price manipulations in time-varying limit order books

Abstract: This paper focuses on an extension of the Limit Order Book (LOB) model with general shape introduced by Alfonsi, Fruth and Schied [2]. Here, the additional feature allows a time-varying LOB depth. We solve the optimal execution problem in this framework for both discrete and continuous time strategies. This gives in particular sufficient conditions to exclude Price Manipulations in th...