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| HAL : hal-00397652, version 3 |
| DOI : 10.1137/090762786 |
| Fiche détaillée |  Récupérer au format |
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| SIAM Journal on Financial Mathematics 1 (2010) 490-522 |
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| Versions disponibles : | v1 (22-06-2009) | v2 (23-07-2009) | v3 (29-04-2010) |
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| Optimal trade execution and absence of price manipulations in limit order book models |
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| Aurélien Alfonsi 1Alexander Schied 2 |
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| (2010) |
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| We analyze the existence of price manipulation and optimal trade execution strategies in a model for an electronic limit order book with nonlinear price impact and exponential resilience. Our main results show that, under general conditions on the shape function of the limit order book, placing deterministic trade sizes at trading dates that are homogeneously spaced is optimal within a large class of adaptive strategies with arbitrary trading dates. This extends results from our earlier work with A. Fruth. Perhaps even more importantly, our analysis yields as a corollary that our model does not admit price manipulation strategies. This latter result contrasts the recent findings of Gatheral [12], where, in a related but different model, exponential resilience was found to give rise to price manipulation strategies when price impact is nonlinear. |
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| 1 : | Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique (CERMICS) |
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Ecole des Ponts ParisTech |
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| 2 : | Institute of Mathematics |
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University of Mannheim |
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| Domaine | : | Mathématiques/Probabilités Économie et finance quantitative/Finance |
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| Liste des fichiers attachés à ce document : | |||||
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| hal-00397652, version 3 | |
| http://hal.archives-ouvertes.fr/hal-00397652 | |
| oai:hal.archives-ouvertes.fr:hal-00397652 | |
| Contributeur : Alfonsi Aurélien | |
| Soumis le : Jeudi 29 Avril 2010, 11:32:55 | |
| Dernière modification le : Mardi 30 Août 2011, 19:17:21 | |
