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Self-exciting price impact via negative resilience in stochastic order books

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Listed:
  • Julia Ackermann

    (University of Gießen)

  • Thomas Kruse

    (University of Wuppertal, Gaußstr. 20)

  • Mikhail Urusov

    (University of Duisburg-Essen)

Abstract

Most of the existing literature on optimal trade execution in limit order book models assumes that resilience is positive. But negative resilience also has a natural interpretation, as it models self-exciting behaviour of the price impact, where trading activities of the large investor stimulate other market participants to trade in the same direction. In the paper we discuss several new qualitative effects on optimal trade execution that arise when we allow resilience to take negative values. We do this in a framework where both market depth and resilience are stochastic processes.

Suggested Citation

  • Julia Ackermann & Thomas Kruse & Mikhail Urusov, 2024. "Self-exciting price impact via negative resilience in stochastic order books," Annals of Operations Research, Springer, vol. 336(1), pages 637-659, May.
    • Handle: RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-04973-0
    DOI: 10.1007/s10479-022-04973-0
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    References listed on IDEAS

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    Cited by:

    1. Julia Ackermann & Thomas Kruse & Mikhail Urusov, 2025. "Multi-asset optimal trade execution with stochastic cross-effects: An Obizhaeva-Wang-type framework," Papers 2503.05594, arXiv.org.

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