Generalized optimal liquidation problems across multiple trading venues

DOI10.3934/jimo.2021109OpenAlexW3173631939MaRDI QIDQ2165772

Tak Kuen Siu, Wai-Ki Ching, Qing-Qing Yang, Jia-Wen Gu

Publication date: 23 August 2022

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.04553

zbMATH Keywords

quadratic variationHamilton-Jacobi-Bellman (HJB) equationdynamic programming (DP)limit order (LO)market order (MO)multi-scale stochastic volatility model

Mathematics Subject Classification ID

PDEs in connection with control and optimization (35Q93)

Cites Work

• Market-making strategy with asymmetric information and regime-switching
• There is no nontrivial hedging portfolio for option pricing with transaction costs
• Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
• MEAN-REVERTING STOCHASTIC VOLATILITY
• Optimal execution with nonlinear impact functions and trading-enhanced risk
• Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies
• Optimal Trading with Stochastic Liquidity and Volatility
• Portfolio Selection with Transaction Costs

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