Dudok de Wit, L. (2014). Liquidity risks based on the Limit Order Book [Diploma Thesis, Technische Universität Wien]. reposiTUm. http://hdl.handle.net/20.500.12708/80058
In this project we present a model for the arrival and execution of limit orders in the limit order book, from which a stochastic liquidity is obtained. A new method, called avalanche of orders (see [11]), is used to analyse how the order book is built. Furthermore, we prove the existence of an optimal selling price for some liquidity-based minimization problems.
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