#3046. C?dl?g semimartingale strategies for optimal trade execution in stochastic order book models

November 2026publication date
Proposal available till 30-05-2025
4 total number of authors per manuscript3000 $

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Journal’s subject area:
Statistics and Probability;
Finance;
Statistics, Probability and Uncertainty;
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Abstract:
The article analyzes the problem of optimal execution of a transaction in the financial market with stochastic liquidity. For this purpose, a model of the book of limit orders in continuous time has been created. Qualitative aspects of optimal strategies are also investigated, such as, for example, the emergence of strategies with infinite variation or the existence of block transactions.
Keywords:
Continuous-time stochastic optimal control; Infinite-variation execution strategy; Limit order book; Optimal trade execution; Quadratic BSDE; Semimartingale execution strategy; Stochastic order book depth; Stochastic resilience

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