Alfonsi, Aurelien; Fruth, Antje; Schied, Alexander - In: Quantitative Finance 10 (2010) 2, pp. 143-157
We consider optimal execution strategies for block market orders placed in a limit order book (LOB). We build on the resilience model proposed by Obizhaeva and Wang (2005) but allow for a general shape of the LOB defined via a given density function. Thus, we can allow for empirically observed...