A model for limit order execution is developed where several sources of uncertainty are taken into account. We focus on the optimal trading strategy of an investor who has to buy a block of shares throughout the submission of limit orders. This trading problem is explicitly solved and we analyze how the state of the limit order book and the investor's subjective beliefs affect the optimal strategy.
Modeling uncertainty in limit order execution
R Agliardi
2016
Abstract
A model for limit order execution is developed where several sources of uncertainty are taken into account. We focus on the optimal trading strategy of an investor who has to buy a block of shares throughout the submission of limit orders. This trading problem is explicitly solved and we analyze how the state of the limit order book and the investor's subjective beliefs affect the optimal strategy.File in questo prodotto:
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