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].

You can also download the Mathematica-Applet.

References

[BBF]

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

[LS13]

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