  We consider optimal execution strategies for block market orders placed in a
limit order book (LOB). We build on the resilience model proposed by Obizhaeva
and Wang (2005) but allow for a general shape of the LOB defined via a given
density function. Thus, we can allow for empirically observed LOB shapes and
obtain a nonlinear price impact of market orders. We distinguish two
possibilities for modeling the resilience of the LOB after a large market
order: the exponential recovery of the number of limit orders, i.e., of the
volume of the LOB, or the exponential recovery of the bid-ask spread. We
consider both of these resilience modes and, in each case, derive explicit
optimal execution strategies in discrete time. Applying our results to a
block-shaped LOB, we obtain a new closed-form representation for the optimal
strategy, which explicitly solves the recursive scheme given in Obizhaeva and
Wang (2005). We also provide some evidence for the robustness of optimal
strategies with respect to the choice of the shape function and the
resilience-type.
