OPTIMAL TRADE EXECUTION IN ILLIQUID MARKETS
From MaRDI portal
Publication:3100751
DOI10.1111/J.1467-9965.2010.00446.XzbMATH Open1233.91335arXiv0902.2516OpenAlexW1564085775MaRDI QIDQ3100751FDOQ3100751
Erhan Bayraktar, Michael Ludkovski
Publication date: 21 November 2011
Published in: Mathematical Finance (Search for Journal in Brave)
Abstract: We study optimal trade execution strategies in financial markets with discrete order flow. The agent has a finite liquidation horizon and must minimize price impact given a random number of incoming trade counterparties. Assuming that the order flow is given by a Poisson process, we give a full analysis of the properties and computation of the optimal dynamic execution strategy. Extensions, whereby (a) is a fully-observed regime-switching Poisson process; and (b) is a Markov-modulated compound Poisson process driven by a hidden Markov chain, are also considered. We derive and compare the properties of the three cases and illustrate our results with computational examples.
Full work available at URL: https://arxiv.org/abs/0902.2516
Portfolio theory (91G10) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Financial applications of other theories (91G80)
Cites Work
- Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
- OPTIMAL TRADE EXECUTION IN ILLIQUID MARKETS
- Optimal execution strategies in limit order books with general shape functions
- Title not available (Why is that?)
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- Sequential tracking of a hidden Markov chain using point process observations
- On an optimal selection problem of Cowan and Zabczyk
- Title not available (Why is that?)
- A full information pricing problem for the sale of several identical commodities
- Inventory management with partially observed nonstationary demand
Cited In (32)
- Dynamic optimal execution in a mixed-market-impact Hawkes price model
- Optimal trade execution in order books with stochastic liquidity
- Optimal Execution with Dynamic Order Flow Imbalance
- Optimal execution with stochastic delay
- SIMULTANEOUS TRADING IN ‘LIT’ AND DARK POOLS
- OPTIMAL EXECUTION HORIZON
- Mean-Field Game Strategies for Optimal Execution
- Optimal Execution: A Review
- Optimal Market Making under Partial Information with General Intensities
- Optimal trade execution under price-sensitive risk preferences
- Algorithmic Trading with Model Uncertainty
- Optimal execution with limit and market orders
- An algorithmic approach to optimal asset liquidation problems
- Optimal control of semi-Markov processes with a backward stochastic differential equations approach
- Algorithmic trading with learning
- Strategic trading in illiquid markets.
- Liquidation in limit order books with controlled intensity
- Optimal trade execution and price manipulation in order books with time-varying liquidity
- Endogenous Formation of Limit Order Books: Dynamics Between Trades
- The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets
- Dynamic equilibrium limit order book model and optimal execution problem
- Pricing European options in a discrete time model for the limit order book
- Multivariate Hawkes-based models in limit order book: European and spread option pricing
- Optimal Decisions in a Time Priority Queue
- OPTIMAL TRADE EXECUTION IN ILLIQUID MARKETS
- Optimal order placement in limit order markets
- Optimal Trade Execution Under Stochastic Volatility and Liquidity
- Impact of time illiquidity in a mixed market without full observation
- Optimal liquidation in dark pools
- An explicit optimal strategy for flow trades at NASDAQ around its close
- Rate control under heavy traffic with strategic servers
- Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions
This page was built for publication: OPTIMAL TRADE EXECUTION IN ILLIQUID MARKETS
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3100751)
