Optimal Execution with Dynamic Order Flow Imbalance

Optimal Execution with Dynamic Order Flow Imbalance

We examine optimal execution models that take into account both market microstructure impact and informational costs. Informational footprint is related to order flow and is represented by the trader’s influence on the flow imbalance process, while microstructure influence is captured by instantaneous price impact. We propose a continuous-time stochastic control problem that balances between th...

Dynamic Equilibrium Limit Order Book Model and Optimal Execution Problem

In this paper we propose a dynamic model of Limit Order Book (LOB). The main feature of our model is that the shape of the LOB is determined endogenously by an expected utility function via a competitive equilibrium argument. Assuming zero resilience, the resulting equilibrium density of the LOB is random, nonlinear, and time inhomogeneous. Consequently, the liquidity cost can be defined dynami...

Unsteady Magneto Hydro Dynamic Flow of a Second Order Fluid over an Oscillating Sheet with a Second Order Slip Flow Model

Unsteady slip-flow of second grade non-Newtonian electrically conducting fluid over an oscillating sheet has been considered and solved numerically. A second-order slip velocity model is used to predict the flow characteristic past the wall. With the assumption of infinite length in x-direction, velocity of the fluid can be assumed as a function of y and t, hence, with proper variable change pa...

Optimal trade execution of equities in a limit order market

Numerical methods for an optimal order execution problem

This paper deals with numerical solutions to an impulse control problem arising from optimal portfolio liquidation with bid-ask spread and market price impact penalizing speedy execution trades. The corresponding dynamic programming (DP) equation is a quasi-variational inequality (QVI) with solvency constraint satisfied by the value function in the sense of constrained viscosity solutions. By t...