Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models

We analyse an optimal trade execution problem in a financial market with stochastic liquidity. To this end, we set up a limit order book model in continuous time. Both order book depth and resilience are allowed to evolve randomly in time. We allow trading in both directions and for càdlàg semimarti...

Ausführliche Beschreibung