We would like to thank Peter Bank and two anonymous referees for valuable suggestions that helped improve our paper.
OPTIMAL TRADE EXECUTION AND PRICE MANIPULATION IN ORDER BOOKS WITH TIME-VARYING LIQUIDITY
Version of Record online: 11 FEB 2013
© 2013 Wiley Periodicals, Inc.
Volume 24, Issue 4, pages 651–695, October 2014
How to Cite
Fruth, A., Schöneborn, T. and Urusov, M. (2014), OPTIMAL TRADE EXECUTION AND PRICE MANIPULATION IN ORDER BOOKS WITH TIME-VARYING LIQUIDITY. Mathematical Finance, 24: 651–695. doi: 10.1111/mafi.12022
- Issue online: 24 SEP 2014
- Version of Record online: 11 FEB 2013
- Manuscript Accepted: 1 SEP 2012
- Manuscript Received: 1 SEP 2011
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