Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/311018 
Year of Publication: 
2022
Citation: 
[Journal:] Annals of Operations Research [ISSN:] 1572-9338 [Volume:] 336 [Issue:] 1 [Publisher:] Springer US [Place:] New York, NY [Year:] 2022 [Pages:] 637-659
Publisher: 
Springer US, New York, NY
Abstract: 
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 other market participants to trade in the same direction. In the paper we discuss several new qualitative effects on optimal trade execution that arise when we allow resilience to take negative values. We do this in a framework where both market depth and resilience are stochastic processes.
Subjects: 
Optimal trade execution
Limit order book
Stochastic market depth
Stochastic resilience
Negative resilience
Quadratic BSDE
Infinite-variation execution strategy
Semimartingale execution strategy
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

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