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2011

Liquidation in Limit Order Books with Controlled Intensity

Bayraktar, Erhan, Ludkovski, Michael

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We consider a framework for solving optimal liquidation problems in limit order books.

In particular, order arrivals are modeled as a point process whose intensity depends on the liquidation price.
We set up a stochastic control problem in which the goal is to maximize the expected revenue from liquidating the entire position held.
We solve this optimal liquidation problem for power-law and exponential-decay order book models and discuss several extensions.

Liquidation in Limit Order Books with Controlled Intensity · Around

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Available at SSRN: http://ssrn.com/abstract=686168
A. A. Obizhaeva and J. Wang · 2005
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