Optimal Asset Liquidation with Multiplicative Transient Price Impact
نویسندگان
چکیده
منابع مشابه
Optimal Execution with Multiplicative Price Impact
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We consider the so-called “optimal execution problem” in algorithmic trading, which is the problem faced by an investor who has a large number of stock shares to sell over a given time horizon and whose actions have impact on the stock price. In particular, we develop and study a price model that presents the stochastic dynamics of a geometric Brownian motion and incorporates a log-linear effec...
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ژورنال
عنوان ژورنال: Applied Mathematics & Optimization
سال: 2017
ISSN: 0095-4616,1432-0606
DOI: 10.1007/s00245-017-9418-0