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Criteria for NUPBR, NFLVR and the existence of EMMs in integrated diffusion markets
In a previous paper, we established a characterization of the no free lunch with vanishing risk (NFLVR) condition for a canonical framework of such a financial market in terms of the scale function and the speed measure.
Self-exciting price impact via negative resilience in stochastic order books
Most of the existing literature on optimal trade execution in limit order book models assumes that resilience is positive.
Optimal trade execution in an order book model with stochastic liquidity parameters
We analyze an optimal trade execution problem in a financial market with stochastic liquidity.
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