OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK

DOI10.1142/S0219024911006577zbMath1231.91403MaRDI QIDQ3006607

Jim Gatheral, Alexander Schied

Publication date: 20 June 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

risk measuresoptimal executionmarket impactHJB

Mathematics Subject Classification ID

Related Items (59)

Real options approach to explore the effect of organizational change on IoT development project ⋮ Equilibrium effects of intraday order-splitting benchmarks ⋮ Optimal portfolio liquidation in target zone models and catalytic superprocesses ⋮ Neumann problem for backward SPDEs with singular terminal conditions and application in constrained stochastic control under target zone ⋮ Incorporating order-flow into optimal execution ⋮ Regularized robust optimization: the optimal portfolio execution case ⋮ Dynamic portfolio choice with frictions ⋮ Optimal Execution with Dynamic Order Flow Imbalance ⋮ Optimal trade execution: a mean quadratic variation approach ⋮ Optimal deleveraging with nonlinear temporary price impact ⋮ Regular finite fuel stochastic control problems with exit time ⋮ Pricing Options under Rough Volatility with Backward SPDEs ⋮ Optimal execution with uncertain order fills in Almgren–Chriss framework ⋮ Applying regression techniques in designing optimal trade execution strategy for an asset ⋮ Stationary Heston model: calibration and pricing of exotics using product recursive quantization ⋮ Optimal solution of the liquidation problem under execution and price impact risks ⋮ Drift dependence of optimal trade execution strategies under transient price impact ⋮ Mean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics ⋮ Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions ⋮ Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies ⋮ Optimal Trade Execution Under Stochastic Volatility and Liquidity ⋮ Portfolio liquidation games with self‐exciting order flow ⋮ New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact ⋮ SIMULTANEOUS TRADING IN ‘LIT’ AND DARK POOLS ⋮ Optimal portfolio trading subject to stochastic dominance constraints under second‐order autoregressive price dynamics ⋮ A discrete-time optimal execution problem with market prices subject to random environments ⋮ Optimal execution with multiplicative price impact and incomplete information on the return ⋮ Accelerated Share Repurchases Under Stochastic Volatility ⋮ Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience ⋮ Generative OrnsteinUhlenbeck markets via geometric deep learning ⋮ Stochastic control for optimal execution: fast approximation solution scheme under nested mean-semi deviation and conditional value at risk ⋮ Optimal investment in an illiquid market with search frictions and transaction costs ⋮ Optimal portfolio execution under time-varying liquidity constraints ⋮ Price manipulation in a market impact model with dark pool ⋮ A class of optimal liquidation problem with a nonlinear temporary market impact ⋮ Optimal trade execution under jump diffusion process: a mean-VaR approach ⋮ Optimal trade execution under price-sensitive risk preferences ⋮ Optimal portfolio deleveraging under market impact and margin restrictions ⋮ Optimal liquidation under partial information with price impact ⋮ Policy Gradient Methods for the Noisy Linear Quadratic Regulator over a Finite Horizon ⋮ Optimal placement in a limit order book: an analytical approach ⋮ Smooth solutions to portfolio liquidation problems under price-sensitive market impact ⋮ Asymptotic approach for backward stochastic differential equation with singular terminal condition ⋮ \(L^p\) solution of backward stochastic differential equations driven by a marked point process ⋮ Multi-dimensional optimal trade execution under stochastic resilience ⋮ A trade execution model under a composite dynamic coherent risk measure ⋮ Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting ⋮ Finite horizon optimal execution with bounded rate of transaction ⋮ DUAL REPRESENTATIONS FOR GENERAL MULTIPLE STOPPING PROBLEMS ⋮ Optimal Execution with Multiplicative Price Impact ⋮ OPTIMAL LIQUIDATION TRAJECTORIES FOR THE ALMGREN–CHRISS MODEL ⋮ A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions ⋮ Mechanics of good trade execution in the framework of linear temporary market impact ⋮ OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH ⋮ OPTIMAL EXECUTION HORIZON ⋮ Liquidation with self-exciting price impact ⋮ Portfolio liquidation under factor uncertainty ⋮ On Regularized Optimal Execution Problems and Their Singular Limits ⋮ Optimal Execution: A Review

Cites Work

• Unnamed Item
• Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
• Coherent Measures of Risk
• No-dynamic-arbitrage and market impact
• Stochastic Finance
• Optimal Basket Liquidation for CARA Investors is Deterministic
• Optimal execution with nonlinear impact functions and trading-enhanced risk

This page was built for publication: OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK