Optimal liquidation under stochastic liquidity

DOI10.1007/s00780-017-0346-2zbMath1391.91164arXiv1603.06498OpenAlexW2608850366MaRDI QIDQ1691443

Dirk Becherer, Todor Bilarev, Peter Frentrup

Publication date: 16 January 2018

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1603.06498

zbMATH Keywords

free boundarysingular controloptimal liquidationinverse local timetransient price impactelastic reflectionfinite-fuel problemstochastic liquiditystochastic volume effect

Mathematics Subject Classification ID

Variational inequalities (49J40) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Diffusion processes (60J60) Financial applications of other theories (91G80) Free boundary problems for PDEs (35R35) Local time and additive functionals (60J55) Boundary theory for Markov processes (60J50)

Related Items (22)

Extended Mean Field Games with Singular Controls ⋮ An algorithmic approach to optimal asset liquidation problems ⋮ Optimal asset liquidation with multiplicative transient price impact ⋮ Optimal solution of the liquidation problem under execution and price impact risks ⋮ Approximating diffusion reflections at elastic boundaries ⋮ Understanding the dual formulation for the hedging of path-dependent options with price impact ⋮ The optimal investment problem with inflation and liquidity risk ⋮ Optimal execution with multiplicative price impact and incomplete information on the return ⋮ Irreversible reinsurance: a singular control approach ⋮ Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience ⋮ Hedging with physical or cash settlement under transient multiplicative price impact ⋮ Optimal liquidation through a limit order book: a neural network and simulation approach ⋮ Optimal execution with regime-switching market resilience ⋮ Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies ⋮ Second-Order Stochastic Target Problems with Generalized Market Impact ⋮ Optimal portfolio execution problem with stochastic price impact ⋮ Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters ⋮ An optimal extraction problem with price impact ⋮ Universal bounds and monotonicity properties of ratios of Hermite and parabolic cylinder functions ⋮ Optimal installation of renewable electricity sources: the case of Italy ⋮ Portfolio liquidation under factor uncertainty ⋮ Optimal Execution: A Review

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Drift dependence of optimal trade execution strategies under transient price impact
• Smooth solutions to portfolio liquidation problems under price-sensitive market impact
• Martingale proofs of many-server heavy-traffic limits for Markovian queues
• Perfect option hedging for a large trader
• Optimal asset liquidation with multiplicative transient price impact
• Incorporating signals into optimal trading
• Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies
• Turán type inequalities for Tricomi confluent hypergeometric functions
• SDEs with oblique reflection on nonsmooth domains
• Probability theory. A comprehensive course.
• Optimal Execution in a General One-Sided Limit-Order Book
• Multivariate Transient Price Impact and Matrix-Valued Positive Definite Functions
• Continuous Auctions and Insider Trading
• Equivalent models for finite-fuel stochastic control
• Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience
• Numerical Inversion of Laplace Transforms of Probability Distributions
• Optimal Trading with Stochastic Liquidity and Volatility
• Optimal execution strategies in limit order books with general shape functions
• A STATE‐CONSTRAINED DIFFERENTIAL GAME ARISING IN OPTIMAL PORTFOLIO LIQUIDATION
• Optimal trade execution in order books with stochastic liquidity

This page was built for publication: Optimal liquidation under stochastic liquidity