# Optimal trade execution in an order book model with stochastic liquidity parameters

arXiv: https://arxiv.org/abs/2006.05843 · HTML: https://mlsanity.com/paper/2006.05843/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 10 Jun 2020.

## Built on by (most cited first, 1 of 1)

- [On Parametric Optimal Execution and Machine Learning Surrogates](https://mlsanity.com/paper/2204.08581/) (2022)

## Abstract (arXiv)

We analyze an optimal trade execution problem in a financial market with stochastic liquidity. To this end we set up a limit order book model in which both order book depth and resilience evolve randomly in time. Trading is allowed in both directions and at discrete points in time. We derive an explicit recursion that, under certain structural assumptions, characterizes minimal execution costs. We also discuss several qualitative aspects of optimal strategies, such as existence of profitable round trips or closing the position in one go, and compare our findings with the literature.