High-resilience limits of block-shaped order books

Jan Kallsen; Johannes Muhle-Karbe

We show that wealth processes in the block-shaped order book model of Obizhaeva/Wang converge to their counterparts in the reduced-form model proposed by Almgren/Chriss, as the resilience of the order book tends to infinity. As an application of this limit theorem, we explain how to reduce portfolio choice in highly-resilient Obizhaeva/Wang models to the corresponding problem in an Almgren/Chriss setup with small quadratic trading costs

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Year of publication:	2014
Authors:	Kallsen, Jan ; Muhle-Karbe, Johannes
Publisher:	Geneva : Swiss Finance Institute
Subject:	Limit order books \| price impact \| high-resilience limit \| Wertpapierhandel \| Securities trading \| Börsenkurs \| Share price \| Theorie \| Theory \| Marktmikrostruktur \| Market microstructure \| Börsenhandel \| Stock exchange trading \| Elektronisches Handelssystem \| Electronic trading

Extent:	Online-Ressource (12 S.)
Series:	Research paper series / Swiss Finance Institute. - Geneva, ZDB-ID 2392286-2. - Vol. 14,72 Swiss Finance Institute Research Paper ; No. 14-72
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzungen: PDF-Reader
Other identifiers:	10.2139/ssrn.2501362 [DOI]
Classification:	G11 - Portfolio Choice ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011293740