Optimal and equilibrium execution strategies with generalized price impact

DOI10.1080/14697688.2020.1749294zbMath1454.91260OpenAlexW2947587890MaRDI QIDQ5139257

Makoto Shimoshimizu, Masamitsu Ohnishi

Publication date: 7 December 2020

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

Full work available at URL: https://doi.org/10.1080/14697688.2020.1749294

zbMATH Keywords

dynamic programmingMarkov perfect equilibriumbackward inductionoptimal executionmarket impactlarge trader

Mathematics Subject Classification ID

Applications of game theory (91A80) Dynamic programming (90C39) Stochastic games, stochastic differential games (91A15) Financial markets (91G15)

Related Items (3)

Optimal pair-trade execution with generalized cross-impact ⋮ A discrete-time optimal execution problem with market prices subject to random environments ⋮ DISCRETE-TIME OPTIMAL EXECUTION UNDER A GENERALIZED PRICE IMPACT MODEL WITH MARKOVIAN EXOGENOUS ORDERS

Cites Work

• Unnamed Item
• Incorporating order-flow into optimal execution
• More statistical properties of order books and price impact
• A Market Impact Game Under Transient Price Impact
• Price Manipulation and Quasi-Arbitrage

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