Antje Fruth

Technical University Berlin

Straße des 17

Berlin, 10623

Germany

http://www.math.tu-berlin.de/~fruth

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

1.

Optimal Execution Strategies in Limit Order Books with General Shape Functions

Number of pages: 29 Posted: 20 Nov 2009
Université Paris Est - CERMICS, Technical University Berlin and University of Waterloo
Downloads 649 (38,951)
Citation 101

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Liquidity risk, optimal portfolio liquidation, block trade execution, limit order book, market impact model, nonlinear price impact, order book resilience, market order

Optimal Trade Execution and Price Manipulation in Order Books with Time-Varying Liquidity

Number of pages: 40 Posted: 12 Sep 2011 Last Revised: 09 Dec 2015
Technical University Berlin, AHL (Man Investments) and University of Ulm - Department of Mathematics and Economics
Downloads 217 (138,595)
Citation 1

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Market impact model, optimal order execution, limit order book, resilience, time-varying liquidity, price manipulation, transaction-triggered price manipulation

Optimal Trade Execution and Price Manipulation in Order Books with Time‐Varying Liquidity

Mathematical Finance, Vol. 24, Issue 4, pp. 651-695, 2014
Number of pages: 45 Posted: 24 Sep 2014
Technical University Berlin, Deutsche Bank AG and University of Ulm - Department of Mathematics and Economics
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Citation 7
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market impact model, optimal order execution, limit order book, resilience, time‐varying liquidity, price manipulation, transaction‐triggered price manipulation

3.

Optimal Trade Execution in Order Books with Stochastic Liquidity

Mathematical Finance, Vol. 29, Issue 2, pp. 507-541, 2019
Number of pages: 35 Posted: 13 Mar 2019
Technical University Berlin, Deutsche Bank AG and University of Ulm - Department of Mathematics and Economics
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limit order book, market impact model, optimal order execution, profitable round trip trading strategies, resilience, stochastic order book depth, time‐varying liquidity