OPTIMAL TRADE EXECUTION AND PRICE MANIPULATION IN ORDER BOOKS WITH TIME-VARYING LIQUIDITY

Antje Fruth, Torsten Schöneborn and Mikhail Urusov

Mathematical Finance, 2014, vol. 24, issue 4, 651-695

Date: 2014
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Working Paper: Optimal trade execution and price manipulation in order books with time-varying liquidity (2011)
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