Stochastic liquidity as a proxy for nonlinear price impact

DOI10.1287/OPRE.2022.0627MaRDI QIDQ6579640FDOQ6579640

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

Publication date 25 July 2024

Published in Operations Research (Search for Journal in Brave)

zbMATH Keywords

dynamic programmingfinanceportfoliooptimal controlprobabilityfinancial engineeringstochastic model applications

Mathematics Subject Classification ID

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

Recommendations

• Optimal liquidation under stochastic price impact
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• A fully consistent, minimal model for nonlinear market impact

Cited in

(1)

• Nash equilibria for relative investors with (non)linear price impact

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