Optimal execution strategies in limit order books with general shape functions

Alfonsi, Aurélien; Fruth, Antje; Schied, Alexander

doi:10.1080/14697680802595700

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Optimal execution strategies in limit order books with general shape functions

Author(s): Aurélien Alfonsi , Antje Fruth , Alexander Schied

Publication date Created: February 2010

Publication date (Print): February 2010

Journal: Quantitative Finance

Publisher: Informa UK Limited

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Title: Quantitative Finance

Abbreviated Title: Quantitative Finance

Publisher: Informa UK Limited

ISSN (Print): 1469-7688

ISSN (Electronic): 1469-7696

Publication date Created: February 2010

Publication date (Print): February 2010

Volume: 10

Issue: 2

Pages: 143-157

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DOI: 10.1080/14697680802595700

SO-VID: d333061b-e857-43b1-a867-bf158202583e

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Optimal execution strategies in limit order books with general shape functions

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