The Amihud illiquidity measure has proven to be very popular in the empirical literature for measuring the illiquidity process of stocks and indices. Many econometric models in discrete time have then been proposed for this Amihud measure. Such models are however not adapted for reproducing...

We propose a new framework of optimal liquidation strategies based on a jump-dependent price impact model with propagator allowing to best reproduce the empirical direct and indirect effects of market and limit orders on the transaction price. Various forms of propagator are studied and their...