The viability of a market impact model is usually considered to be equivalent to the absence of price manipulation strategies in the sense of Huberman & Stanzl (2004). By analyzing a model with linear instantaneous, transient, and permanent impact components, we discover a new class of...

We continue the analysis of optimal execution strategies in the model for a limit order book with nonlinear price impact and exponential resilience that was considered in Alfonsi, Schied, and Fruth (2009). We now allow for non-homogeneous resilience rates and arbitrary trading dates and consider...

We consider optimal execution strategies for block market orders placed in a limit order book (LOB). We build on the resilience model proposed by Obizhaeva and Wang (2005) but allow for a general shape of the LOB defined via a given density function. Thus, we can allow for empirically observed...

We consider the linear-impact case in the continuous-time market impact model with transient price impact proposed by Gatheral (2008). In this model, the absence of price manipulation in the sense of Huberman and Stanzl (2004) can easily be characterized by means of Bochner's theorem. This...

For a market impact model, price manipulation and related notions play a role that is similar to the role of arbitrage in a derivatives pricing model. Here, we give a systematic investigation into such regularity issues when orders can be executed both at a traditional exchange and in a dark...