OPTIMAL EXECUTION COST FOR LIQUIDATION THROUGH A LIMIT ORDER MARKET

DOI10.1142/S0219024916500047zbMath1337.91158MaRDI QIDQ2797874

Alexandre F. Roch, Simone Scotti, Vathana Ly Vath, Etienne Chevalier

Publication date: 1 April 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

variational inequalitiesviscosity solutionsimpulse controlliquidity risklimit-order books

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)

Related Items (5)

SIMULTANEOUS TRADING IN ‘LIT’ AND DARK POOLS ⋮ A zero-sum stochastic differential game with impulses, precommitment, and unrestricted cost functions ⋮ Nonzero-sum stochastic differential games between an impulse controller and a stopper ⋮ Optimal liquidation through a limit order book: a neural network and simulation approach ⋮ Clustering Effects via Hawkes Processes

Cites Work

• Dealing with the inventory risk: a solution to the market making problem
• Optimal exit strategies for investment projects
• AN ANALYSIS OF THE SUPPLY CURVE FOR LIQUIDITY RISK THROUGH BOOK DATA
• RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY
• Buy Low, Sell High: A High Frequency Trading Perspective
• MARKET MAKING AND PORTFOLIO LIQUIDATION UNDER UNCERTAINTY
• Optimal Portfolio Liquidation with Limit Orders

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