Journalartikel
Autorenliste: Ackermann, Julia; Kruse, Thomas; Urusov, Mikhail
Jahr der Veröffentlichung: 2024
Seiten: 637-659
Zeitschrift: Annals of Operations Research
Bandnummer: 336
Heftnummer: 1-2
ISSN: 0254-5330
eISSN: 1572-9338
Open Access Status: Hybrid
DOI Link: https://doi.org/10.1007/s10479-022-04973-0
Verlag: Springer
Abstract:
Most of the existing literature on optimal trade execution in limit order book models assumes that resilience is positive. But negative resilience also has a natural interpretation, as it models self-exciting behaviour of the price impact, where trading activities of the large investor stimulate other market participants to trade in the same direction. In the paper we discuss several new qualitative effects on optimal trade execution that arise when we allow resilience to take negative values. We do this in a framework where both market depth and resilience are stochastic processes.
Zitierstile
Harvard-Zitierstil: Ackermann, J., Kruse, T. and Urusov, M. (2024) Self-exciting price impact via negative resilience in stochastic order books, Annals of Operations Research, 336(1-2), pp. 637-659. https://doi.org/10.1007/s10479-022-04973-0
APA-Zitierstil: Ackermann, J., Kruse, T., & Urusov, M. (2024). Self-exciting price impact via negative resilience in stochastic order books. Annals of Operations Research. 336(1-2), 637-659. https://doi.org/10.1007/s10479-022-04973-0
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