Constrained portfolio liquidation in a limit order book model
- 1 January 2008
- proceedings article
- Published by Institute of Mathematics, Polish Academy of Sciences
- Vol. 83, 9-25
- https://doi.org/10.4064/bc83-0-1
Abstract
We consider the problem of optimally placing market orders so as to minimize the expected liquidity costs from buying a given amount of shares. The liquidity price impact of market orders is described by an extension of a model for a limit order book withThis publication has 0 references indexed in Scilit: