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We propose a framework to study the optimal liquidation strategy in a limit order book for large-tick stocks, with the spread equal to one tick. All order book events (market orders, limit orders and cancellations) occur according to independent Poisson processes, with parameters depending on...
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Technological advances and regulatory initiatives have led to the emergence of a competitive, but fragmented, equity trading landscape in several markets around the world. While these changes have coincided with benefits like reduced transaction costs, advancements in trading technology, and...
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