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Limit Order Book

This is an interactive comparison of our multiplicative Limit Order Book model [BBF] with the additive model of Lorenz and Schied [LS13].

Mathematica Applet comparing our Limit Order Book model [BBF] with that of Lozenz and Schied [LS]

You can also download the Mathematica-Applet.


D. Becherer, T. Bilarev and P. Frentrup. Optimal Asset Liquidation with Multiplicative Transient Price Impact, Applied Mathematics & Optimization, 2017, DOI 10.1007/s00245-017-9418-0
C. Lorenz and A. Schied. Drift dependence of optimal trade execution strategies under transient price impact. Finance and Stochastics 17(4):743–770, 2013, DOI 10.1007/s00780-013-0211-x