literature on optimal trade execution pioneered by Obizhaeva and Wang (J. Financ. Mark. 16:1–32, 2013 ) (models with finite … solution for the (extended) initial trade execution problem. Finally, we illustrate our results by several examples. Among … extend the initial trade execution problem to a reasonably large class of progressively measurable processes (even going …

Most of the existing literature on optimal trade execution in limit order book models assumes that resilience is … paper we discuss several new qualitative effects on optimal trade execution that arise when we allow resilience to take …

Most of the existing literature on optimal trade execution in limit order book models assumes that resilience is … paper we discuss several new qualitative effects on optimal trade execution that arise when we allow resilience to take …

trade execution. We estimate that a 10 percent increase in entropy reduces the negative impact of macro news by over 60% for …

trade execution. We estimate that a 10 percent increase in entropy reduces the negative impact of macro news by over 60% for …