Optimal liquidation strategies for large-tick stocks
This thesis is devoted to study the optimal liquidation strategies in a limit order book for large-tick stocks. Two frameworks are proposed. In the first framework, we formulate a stylised limit order book that admits one-tick spread and fixed market depth cap, in which order flows arrive according...
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Imperial College London
2018
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| Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.762152 |