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• W2962760336 startingPage "557" @default.
• W2962760336 abstract "In this paper we propose a dynamic model of Limit Order Book (LOB). The main feature of our model isthat the shape of the LOB is determined endogenously byan expected utility function via a competitive equilibrium argument. Assuming zero resilience, the resultingequilibrium density of the LOB is random, nonlinear, and time inhomogeneous. Consequently,the liquidity cost can be defined dynamically in a natural way.  &nbspWe next study an optimal execution problem in our model. We verify that the value function satisfies the Dynamic Programming Principle, and is a viscosity solution to the correspondingHamilton-Jacobi-Bellman equation which is in the form of an integro-partial-differential quasi-variational inequality. We also prove theexistence and analyze the structure of the optimal strategy via a verification theorem argument, assuming that the PDE has aclassical solution." @default.
• W2962760336 created "2019-07-30" @default.
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• W2962760336 date "2015-01-01" @default.
• W2962760336 modified "2023-09-30" @default.
• W2962760336 title "Dynamic equilibrium limit order book model and optimal execution problem" @default.
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• W2962760336 doi "https://doi.org/10.3934/mcrf.2015.5.557" @default.
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