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High-Resilience Limits of Block-Shaped Order Books

https://doi.org/10.2139/ssrn.2501362
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24/24 checkable references clean · checked 2026-08-27

Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.

3 without a DOI — not checked. A reference deposited without a DOI is never matched by title or guessed at; it stays outside the checked set, and this line discloses that.

The 24 checked references that resolve
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Optimal execution strategies in limit order books with general shape functions
resolves10.1080/135048602100056
Optimal execution with nonlinear impact functions and trading-enhanced risk
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Optimal execution of portfolio transactions
resolves10.1111/j.0960-1627.2004.00179.x
Hedging and Portfolio Optimization in Financial Markets with a Large Trader
resolves10.1016/s1386-4181(97)00012-8
Optimal control of execution costs
resolves10.1137/090774458
Admissible Strategies in Semimartingale Portfolio Selection
resolves10.1007/s00780-004-0123-x
Liquidity risk and arbitrage pricing theory
resolves10.1016/j.jet.2016.06.001
Dynamic portfolio choice with frictions
resolves10.1111/jofi.12080
Dynamic Trading with Predictable Returns and Transaction Costs
resolves10.1017/cbo9781139151184.030
Dynamical Models of Market Impact and Algorithms for Order Execution
resolves10.1007/978-3-642-18412-3_13
Liquidity Models in Continuous and Discrete Time
resolves10.2139/ssrn.2155944
Dynamic Trading Volume
resolves10.1111/j.1468-0262.2004.00531.x
Price Manipulation and Quasi-Arbitrage
resolves10.1007/s10679-005-7591-5
Optimal Liquidity Trading
resolves10.1007/978-3-662-05265-5
Limit Theorems for Stochastic Processes
resolves10.2139/ssrn.2246785
The General Structure of Optimal Investment and Consumption with Small Transaction Costs
resolves10.1214/aoap/1177004836
Limit Theorem on Option Replication Cost with Transaction Costs
resolves10.1016/s1386-4181(00)00007-0
Market microstructure: A survey
resolves10.2139/ssrn.2402245
Trading with Small Price Impact
resolves10.1016/j.finmar.2012.09.001
Optimal trading strategy and supply/demand dynamics
resolves10.1137/10078534x
Optimal Execution in a General One-Sided Limit-Order Book
resolves10.1007/978-3-662-02619-9_6
Stochastic Differential Equations
resolves10.1142/s0219024913500374
RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY
resolves10.1007/s00780-008-0082-8
Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
The 3 references without a DOI — listed, not checked
no DOI — not checkedValue under liquidation
no DOI — not checkedref5
no DOI — not checkedref19
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