Journalartikel
Autorenliste: Ackermann, Julia; Kruse, Thomas; Urusov, Mikhail
Jahr der Veröffentlichung: 2021
Seiten: 788-822
Zeitschrift: SIAM Journal on Financial Mathematics
Bandnummer: 12
Heftnummer: 2
ISSN: 1945-497X
Open Access Status: Green
DOI Link: https://doi.org/10.1137/20M135409X
Verlag: Society for Industrial and Applied Mathematics
Abstract:
We analyze an optimal trade execution problem in a financial market with stochastic liquidity. To this end we set up a limit order book model in which both order book depth and resilience evolve randomly in time. Trading is allowed in both directions and at discrete points in time. We derive an explicit recursion that, under certain structural assumptions, characterizes minimal execution costs. We also discuss several qualitative aspects of optimal strategies, such as existence of profitable round trips or closing the position in one go, and compare our findings with the literature.
Zitierstile
Harvard-Zitierstil: Ackermann, J., Kruse, T. and Urusov, M. (2021) Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters, SIAM Journal on Financial Mathematics, 12(2), pp. 788-822. https://doi.org/10.1137/20M135409X
APA-Zitierstil: Ackermann, J., Kruse, T., & Urusov, M. (2021). Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters. SIAM Journal on Financial Mathematics. 12(2), 788-822. https://doi.org/10.1137/20M135409X
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