Stochastic liquidity as a proxy for nonlinear price impact

DOI10.1287/OPRE.2022.0627MaRDI QIDQ6579640zbMATH OpenFDO

Authors Johannes Muhle-Karbe, Zexin Wang, Kevin N. Webster

Publication date 25 July 2024

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/OPRE.2022.0627

zbMATH Keywords

dynamic programmingfinancefinancial engineeringoptimal controlportfolioprobabilitystochastic model applications

Mathematics Subject Classification ID

Dynamic programming (90C39) Financial markets (91G15)

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Cited in

(5)

• Nash equilibria for relative investors with (non)linear price impact
• Long time behavior of optimal liquidation problems with semimartingale strategies and external flows
• Tackling nonlinear price impact with linear strategies
• Unwinding stochastic order flow: when to warehouse trades
• Optimal Trading under Instantaneous and Persistent Price Impact, Predictable Returns and Multiscale Stochastic Volatility

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