Periodic strategies in optimal execution with multiplicative price impact

Daniel Hernández‐Hernández, Harold A. Moreno‐Franco and José‐Luis Pérez
Authors registered in the RePEc Author Service: Harold A. Moreno-Franco ()

Mathematical Finance, 2019, vol. 29, issue 4, 1039-1065

Abstract: We study the optimal execution problem with multiplicative price impact in algorithmic trading, when an agent holds an initial position of shares of a financial asset. The interselling decision times are modeled by the arrival times of a Poisson process. The criterion to be optimized consists in maximizing the expected net present value of the gains of the agent, and it is proved that an optimal strategy has a barrier form, depending only on the number of shares left and the level of the asset price.

Date: 2019
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