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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].
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,
- C. Lorenz and A. Schied.
Drift dependence of optimal trade execution strategies under transient price impact.
Finance and Stochastics 17(4):743–770, 2013,