Optimal trade execution and price manipulation in order books with time-varying liquidity
Antje Fruth; Torsten Schöneborn; Mikhail Urusov
| Year of publication: |
2014
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|---|---|
| Authors: | Fruth, Antje ; Schöneborn, Torsten ; Urusov, Mikhail |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 24.2014, 4, p. 651-695
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| Subject: | market impact model | optimal order execution | limit order book | resilience | time-varying liquidity | price manipulation | transaction-triggered price manipulation | Wertpapierhandel | Securities trading | Theorie | Theory | Manipulation | Börsenkurs | Share price | Liquidität | Liquidity | Geld-Brief-Spanne | Bid-ask spread | Marktliquidität | Market liquidity | Handelsvolumen der Börse | Trading volume |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011308175