Implied Liquidity - Towards Stochastic Liquidity Modeling and Liquidity Trading
نویسندگان
چکیده
منابع مشابه
Optimal Trading with Stochastic Liquidity and Volatility
We consider the problem of mean-variance optimal agency execution strategies, when the market liquidity and volatility vary randomly in time. Under specific assumptions for the stochastic processes satisfied by these parameters, we construct a Hamilton–Jacobi–Bellman equation for the optimal cost and strategy. We solve this equation numerically and illustrate optimal strategies for varying risk...
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We appreciate helpful discussions with Jean-Paul Abraham, Jos Schmitt and participants at the 23 rd SUERF Colloquium. We acknowledge financial assistance from FWO-Vlaanderen under contracts G.0302.00 and G.0333.01.
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2010
ISSN: 1556-5068
DOI: 10.2139/ssrn.1761253