Economic Modeling for Optimal Trading of Financial Asset in Volatile Market

Edward Sun and Timm Kruse ()
Additional contact information
Timm Kruse: School of Mathematics, Karlsruhe Institute of Technology (KIT), Germany

Economics Bulletin, 2013, vol. 33, issue 3, 1788-1795

Abstract: We build an optimal trading model for submitting market orders in volatile market. We show some analytical properties of our computational solution. We conduct numerical simulations to investigate the model performance. In comparison with other two alternative models, the simulation results show that the performance of our model is generally superior, particularly when the market turns to be extremely bullish or bearish.

Keywords: Discrete optimization; Liquidity; Optimal execution; Geometric Brownian motion (search for similar items in EconPapers)
JEL-codes: C0 G1 (search for similar items in EconPapers)
Date: 2013-07-13
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.accessecon.com/Pubs/EB/2013/Volume33/EB-13-V33-I3-P168.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-12-00627

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().