Self-exciting price impact via negative resilience in stochastic order books
研究了在限价订单簿模型中允许弹性为负值时对最优交易执行的影响，负弹性模拟了大额交易者行为引发其他市场参与者同向交易的自激效应。
Abstract Most of the existing literature on optimal trade execution in limit order book models assumes that resilience is positive. But negative resilience also has a natural interpretation, as it models self-exciting behaviour of the price impact, where trading activities of the large investor stimulate other market participants to trade in the same direction. In the paper we discuss several new qualitative effects on optimal trade execution that arise when we allow resilience to take negative values. We do this in a framework where both market depth and resilience are stochastic processes.