Generalized optimal liquidation problems across multiple trading venues

DOI10.3934/JIMO.2021109MaRDI QIDQ2165772zbMATH OpenOpenAlexFDO

Authors Qingqing Yang, Wai-Ki Ching, Jia-Wen Gu, Tak Kuen Siu

Publication date 23 August 2022

Published in Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1607.04553

zbMATH Keywords

dynamic programming (DP)Hamilton-Jacobi-Bellman (HJB) equationlimit order (LO)market order (MO)multi-scale stochastic volatility modelquadratic variation

Mathematics Subject Classification ID

PDEs in connection with control and optimization (35Q93)

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Cites work

• Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies
• Market-making strategy with asymmetric information and regime-switching
• MEAN-REVERTING STOCHASTIC VOLATILITY
• Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
• Optimal execution with nonlinear impact functions and trading-enhanced risk
• Optimal trading with stochastic liquidity and volatility
• Portfolio Selection with Transaction Costs
• There is no nontrivial hedging portfolio for option pricing with transaction costs

Cited in

(3)

• Optimal liquidation strategies and their implications
• Optimal liquidation trajectories for the Almgren-Chriss model
• A guided tour of new results on ``trade execution in illiquid markets

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