Periodic strategies in optimal execution with multiplicative price impact

被引：2
|
作者：
Hernandez-Hernandez, Daniel [1 ]
Moreno-Franco, Harold A. [2 ,3 ]
Perez, Jose-Luis [1 ]
机构：
[1] Ctr Invest Matemat, Dept Probabil & Stat, AC Calle Jalisco S-N, Guanajuato 36240, Mexico
[2] Univ Norte, Dept Math & Stat, Barranquilla, Colombia
[3] Natl Res Univ, Higher Sch Econ, Moscow, Russia
来源：
MATHEMATICAL FINANCE | 2019年 / 29卷 / 04期
关键词：
multiplicative price impact; optimal execution problem; periodic stochastic control; C610; OPTIMAL LIQUIDATION; DUAL MODEL; RISK;
D O I：
10.1111/mafi.12208
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We study the optimal execution problem with multiplicative price impact in algorithmic trading, when an agent holds an initial position of shares of a financial asset. The interselling decision times are modeled by the arrival times of a Poisson process. The criterion to be optimized consists in maximizing the expected net present value of the gains of the agent, and it is proved that an optimal strategy has a barrier form, depending only on the number of shares left and the level of the asset price.
引用
收藏
页码：1039 / 1065
页数：27
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