- Working Paper
We show that wealth processes in the block-shaped order book model of Obizhaeva/Wang converge to their counterparts in the reduced-form model proposed by Almgren/Chriss, as the resilience of the order book tends to infinity. As an application of this limit theorem, we explain how to reduce portfolio choice in highly-resilient Obizhaeva/Wang models to the corresponding problem in an Almgren/Chriss setup with small quadratic trading costs Show more
Journal / seriesarXiv
Pages / Article No.
Organisational unit03899 - Muhle-Karbe, Johannes (ehemalig)
NotesSubmitted 25 September 2014.
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