<div class="csl-bib-body">
<div class="csl-entry">Dudok de Wit, L. (2014). <i>Liquidity risks based on the Limit Order Book</i> [Diploma Thesis, Technische Universität Wien]. reposiTUm. http://hdl.handle.net/20.500.12708/80058</div>
</div>
-
dc.identifier.uri
http://hdl.handle.net/20.500.12708/80058
-
dc.description
Arbeit an der Bibliothek noch nicht eingelangt - Daten nicht geprueft
-
dc.description
Abweichender Titel laut Übersetzung der Verfasserin/des Verfassers
-
dc.description.abstract
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.
