Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience

DOI10.1137/16M1105463zbMath1386.93307arXiv1611.03435OpenAlexW2562963994MaRDI QIDQ4596852

Paulwin Graewe, Ulrich Horst

Publication date: 11 December 2017

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.03435

zbMATH Keywords

stochastic controlportfolio liquidationsingular terminal valuemultidimensional backward stochastic differential equation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (15)

Optimal solution of the liquidation problem under execution and price impact risks ⋮ Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact ⋮ Portfolio liquidation games with self‐exciting order flow ⋮ Optimal liquidation under stochastic liquidity ⋮ Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint ⋮ Optimal portfolio execution under time-varying liquidity constraints ⋮ Optimal execution with regime-switching market resilience ⋮ Mean-Field Leader-Follower Games with Terminal State Constraint ⋮ Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models ⋮ \(L^p\) solution of backward stochastic differential equations driven by a marked point process ⋮ Multi-dimensional optimal trade execution under stochastic resilience ⋮ Optimal Trade Execution in an Order Book Model with Stochastic Liquidity Parameters ⋮ A Mean Field Game of Optimal Portfolio Liquidation ⋮ On Regularized Optimal Execution Problems and Their Singular Limits ⋮ Optimal Execution: A Review

Uses Software

• bvpsuite

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• A control problem with fuel constraint and Dawson-Watanabe superprocesses
• Smooth solutions to portfolio liquidation problems under price-sensitive market impact
• Multi-dimensional reflected backward stochastic differential equations and the comparison theorem
• Minimal supersolutions for BSDEs with singular terminal condition and application to optimal position targeting
• Optimal liquidation under stochastic liquidity
• Stochastic differential equations, backward SDEs, partial differential equations
• On the comparison theorem for multidimensional BSDEs
• A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition
• OPTIMAL TRADE EXECUTION AND PRICE MANIPULATION IN ORDER BOOKS WITH TIME-VARYING LIQUIDITY
• When to Cross the Spread? Trading in Two-Sided Limit Order Books
• OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
• Stochastic Hamilton–Jacobi–Bellman Equations
• Optimal position targeting with stochastic linear-quadratic costs
• An Explicit Solution of a Nonlinear-Quadratic Constrained Stochastic Control Problem with Jumps: Optimal Liquidation in Dark Pools with Adverse Selection
• A Non-Markovian Liquidation Problem and Backward SPDEs with Singular Terminal Conditions
• Optimal trade execution in order books with stochastic liquidity
• BSDEs with Singular Terminal Condition and a Control Problem with Constraints
• MULTIDIMENSIONAL DYNAMIC RISK MEASURE VIA CONDITIONAL g‐EXPECTATION

This page was built for publication: Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience