An optimal execution problem in the volume-dependent Almgren–Chriss model

DOI10.3233/AF-170198zbMath1395.91523arXiv1701.08972OpenAlexW2962856408MaRDI QIDQ4586459

Takashi Kato

Publication date: 13 September 2018

Published in: Algorithmic Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.08972

zbMATH Keywords

market impactvolume-weighted average price (VWAP)optimal execution problemmarket trading volume

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Asymptotic expansions of solutions to ordinary differential equations (34E05)

Related Items (1)

A class of optimal liquidation problem with a nonlinear temporary market impact

This page was built for publication: An optimal execution problem in the volume-dependent Almgren–Chriss model