Hidden orders are offered by many lit trading venues for participants to hide the true size of their orders. To help a risk-neutral trader executing a target volume to minimize the execution cost by benefitting from the setting of a limit order market allowing hidden orders, we propose a...

Motivated by optimal trade execution, this paper studies the temporal evolution of the shape of a limit order book over a time horizon that is large compared with the length of time between order book events, with the aim of approximating the transient distribution of the shape. Relying on the...