Ackermann, Julia; Kruse, Thomas; Urusov, Mikhail - In: Annals of Operations Research 336 (2022) 1, pp. 637-659
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...