Trading against disorderly liquidation of a large position under asymmetric information and market impact

DOI10.1051/proc/201756042zbMath1407.91223arXiv1610.01937OpenAlexW3125533907MaRDI QIDQ4606384

Ying Jiao, Renjie Wang, Cody Blaine Hyndman, Caroline Hillairet

Publication date: 7 March 2018

Published in: ESAIM: Proceedings and Surveys (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1610.01937

zbMATH Keywords

asymmetric informationportfolio optimizationoptimal tradingmarket impactdisorderly liquidation

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimal portfolio liquidation with additional information
• Mathematical methods for financial markets.
• Optimal investment under partial information
• A monetary value for initial information in portfolio optimization
• Additional logarithmic utility of an insider
• Martingale representation theorems for initially enlarged filtrations.
• Incomplete markets with jumps and informed agents
• Stochastic differential equations for the non linear filtering problem
• A regression-based Monte Carlo method to solve backward stochastic differential equations
• Continuous Auctions and Insider Trading
• Portfolio optimization and contingent claim pricing with differential information
• Liquidity Models in Continuous and Discrete Time

This page was built for publication: Trading against disorderly liquidation of a large position under asymmetric information and market impact