Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models

Julia Ackermann, Thomas Kruse, Mikhail Urusov

Year of publication:	2021
Authors:	Ackermann, Julia ; Kruse, Thomas ; Urusov, Mikhail
Published in:	Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 25.2021, 4, p. 757-810
Subject:	Optimal trade execution \| Continuous-time stochastic optimal control \| Limit order book \| Stochastic order book depth \| Stochastic resilience \| Quadratic BSDE \| Infinite-variation execution strategy \| Semimartingale execution strategy \| Theorie \| Theory \| Stochastischer Prozess \| Stochastic process \| Wertpapierhandel \| Securities trading \| Portfolio-Management \| Portfolio selection \| Martingal \| Martingale \| Marktmikrostruktur \| Market microstructure \| Mathematische Optimierung \| Mathematical programming \| Anlageverhalten \| Behavioural finance