OPTIMAL LIQUIDATION UNDER STOCHASTIC PRICE IMPACT

DOI10.1142/S0219024918500590zbMath1411.91477arXiv1804.04170OpenAlexW2963091401WikidataQ129035216 ScholiaQ129035216MaRDI QIDQ4631694

Weston Barger, Matthew Lorig

Publication date: 18 April 2019

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

Full work available at URL: https://arxiv.org/abs/1804.04170

zbMATH Keywords

asymptoticsstochastic controlprice impactoptimal executionalgorithmic tradingHamilton-Jacobi-Bellmancoefficient expansion

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Portfolio theory (91G10)

Related Items (7)

LATENCY AND LIQUIDITY RISK ⋮ Optimal Trading with Signals and Stochastic Price Impact ⋮ Optimal portfolio execution problem with stochastic price impact ⋮ The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets ⋮ Optimal execution with stochastic delay ⋮ On Regularized Optimal Execution Problems and Their Singular Limits ⋮ Optimal Execution: A Review

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