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Antje Fruth · Study
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Author
Antje Fruth
5 works
· latest 2018
· 1 institutions
cluster: provisional
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Citations
686
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5
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18
Most cited in this library
Optimal execution strategies in limit order books with general shape functions
2009 · 408 citations
Optimal Execution Strategies in Limit Order Books with General Shape Functions
2009 · 115 citations
Constrained portfolio liquidation in a limit order book model
2008 · 76 citations
OPTIMAL TRADE EXECUTION AND PRICE MANIPULATION IN ORDER BOOKS WITH TIME‐VARYING LIQUIDITY
2013 · 54 citations
Optimal trade execution in order books with stochastic liquidity
2018 · 33 citations
Works
5 shown
Optimal trade execution in order books with stochastic liquidity
Mathematical Finance
·
2018
·
3 authors
33
citations
OPTIMAL TRADE EXECUTION AND PRICE MANIPULATION IN ORDER BOOKS WITH TIME‐VARYING LIQUIDITY
Mathematical Finance
·
2013
·
3 authors
·
Open access
54
citations
Optimal execution strategies in limit order books with general shape functions
Quantitative Finance
·
2009
·
3 authors
·
Open access
408
citations
Optimal Execution Strategies in Limit Order Books with General Shape Functions
SSRN Electronic Journal
·
2009
·
3 authors
·
preprint
·
Open access
115
citations
Constrained portfolio liquidation in a limit order book model
Banach Center Publications
·
2008
·
3 authors
·
other
·
Open access
76
citations