General intensity shapes in optimal liquidation
From MaRDI portal
(Redirected from Publication:5262510)
Abstract: The classical literature on optimal liquidation, rooted in Almgren-Chriss models, tackles the optimal liquidation problem using a trade-off between market impact and price risk. Therefore, it only answers the general question of the optimal liquidation rhythm. The very question of the actual way to proceed with liquidation is then rarely dealt with. Our model, that incorporates both price risk and non-execution risk, is an attempt to tackle this question using limit orders. The very general framework we propose to model liquidation generalizes the existing literature on optimal posting of limit orders. We consider a risk-adverse agent whereas the model of Bayraktar and Ludkovski only tackles the case of a risk-neutral one. We consider very general functional forms for the execution process intensity, whereas Gu'eant et al. is restricted to exponential intensity. Eventually, we link the execution cost function of Almgren-Chriss models to the intensity function in our model, providing then a way to see Almgren-Chriss models as a limit of ours.
Recommendations
- Optimal portfolio liquidation with limit orders
- Liquidation in limit order books with controlled intensity
- Optimal execution cost for liquidation through a limit order market
- Optimal liquidation trajectories for the Almgren-Chriss model
- Optimal liquidation in a limit order book for a risk-averse investor
Cites work
- Buy Low, Sell High: A High Frequency Trading Perspective
- Dealing with the inventory risk: a solution to the market making problem
- Dynamic trading policies with price impact
- High-frequency trading in a limit order book
- scientific article; zbMATH DE number 5361721 (Why is no real title available?)
- Liquidation in limit order books with controlled intensity
- Mean-variance optimal adaptive execution
- Modelling Asset Prices for Algorithmic and High-Frequency Trading
- No-dynamic-arbitrage and market impact
- Optimal basket liquidation for CARA investors is deterministic
- Optimal control of trading algorithms: a general impulse control approach
- Optimal execution and block trade pricing: a general framework
- Optimal Execution in a General One-Sided Limit-Order Book
- Optimal execution strategies in limit order books with general shape functions
- Optimal execution with nonlinear impact functions and trading-enhanced risk
- Optimal high-frequency trading in a pro rata microstructure with predictive information
- Optimal high-frequency trading with limit and market orders
- Optimal liquidation in dark pools
- Optimal Liquidity Trading*
- Optimal portfolio liquidation with limit orders
- Optimal split of orders across liquidity pools: a stochastic algorithm approach
- Optimal Trade Execution and Absence of Price Manipulations in Limit Order Book Models
- Optimal trade execution: a mean quadratic variation approach
- Optimal trading with stochastic liquidity and volatility
- Order book resilience, price manipulation, and the positive portfolio problem
- Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
- Risk metrics and fine tuning of high-frequency trading strategies
- Transient linear price impact and Fredholm integral equations
Cited in
(40)- Mean field game of controls and an application to trade crowding
- Generalized optimal liquidation problems across multiple trading venues
- A class of optimal liquidation problem with a nonlinear temporary market impact
- Order execution probability and order queue in limit order markets
- Optimal liquidation problem in illiquid markets
- Liquidation with self-exciting price impact
- Optimal execution cost for liquidation through a limit order market
- Optimal hedging through limit orders
- Optimal trading strategies with limit orders
- Incorporating order-flow into optimal execution
- Optimal order placement in limit order markets
- Optimal execution with uncertain order fills in Almgren-Chriss framework
- A liquidation risk adjustment for value at risk and expected shortfall
- Algorithmic trading with model uncertainty
- Optimal market making
- Optimal accelerated share repurchases
- Optimal execution with limit and market orders
- Optimal liquidation and adverse selection in dark pools
- Endogenous formation of limit order books: dynamics between trades
- Optimal execution and block trade pricing: a general framework
- Optimal portfolio liquidation with limit orders
- Algorithmic market making for options
- Closed-form Approximations in Multi-asset Market Making
- Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics
- Optimal solution of the liquidation problem under execution and price impact risks
- Optimal liquidity-based trading tactics
- Double deep Q-learning for optimal execution
- Optimal market making under partial information with general intensities
- Portfolio liquidation in dark pools in continuous time
- Optimal liquidation trajectories for the Almgren-Chriss model
- Optimal Execution: A Review
- Size matters for OTC market makers: General results and dimensionality reduction techniques
- Computational Methods for Market Making Algorithms
- Optimal liquidation through a limit order book: a neural network and simulation approach
- Optimal order execution under price impact: a hybrid model
- Rate control under heavy traffic with strategic servers
- Optimal Trade Execution Strategy and Implementation with Deterministic Market Impact Parameters
- Reinforcement Learning for Optimal Execution When Liquidity Is Time-Varying
- Dynamic Inventory Management with Mean-Field Competition
- Optimal liquidation under indirect price impact with propagator
This page was built for publication: General intensity shapes in optimal liquidation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5262510)
