Drift dependence of optimal trade execution strategies under transient price impact (Q377452)
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scientific article; zbMATH DE number 6223042
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| English | Drift dependence of optimal trade execution strategies under transient price impact |
scientific article; zbMATH DE number 6223042 |
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Drift dependence of optimal trade execution strategies under transient price impact (English)
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6 November 2013
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In this paper, the authors aims to investigate the stability of models for transient price impact by focusing on the dependence of optimal trade execution strategies on a possible drift of the underlying unaffected price process. The general dynamics of the drift is allowed and, in particular, jumps and non-Markovian structure. The linear continuous-time model of \textit{J. Gatheral} et al. [Math. Finance 22, No. 3, 445--474 (2012; Zbl 1278.91061)] with exponential decay of price impact is used, and the minimization of the expected costs is considered.
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optimal trade execution
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transient price impact
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singular control
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verification argument
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0.8654819130897522
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0.8564907312393188
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0.8491700887680054
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0.8464112877845764
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0.8432259559631348
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