Journal article

Authors list: Ackermann, Julia; Kruse, Thomas; Urusov, Mikhail

Publication year: 2024

Pages: 637-659

Journal: Annals of Operations Research

Volume number: 336

Issue number: 1-2

ISSN: 0254-5330

eISSN: 1572-9338

Open access status: Hybrid

DOI Link: https://doi.org/10.1007/s10479-022-04973-0

Publisher: 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.

Harvard Citation style: 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 Citation style: 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