Generalized Optimal Liquidation Problems Across Multiple Trading Venues

Qing-Qing Yang, Wai-Ki Ching, Jia-Wen Gu and Tak Kuen Siu

Papers from arXiv.org

Abstract: In this paper, we generalize the Almgren-Chriss's market impact model to a more realistic and flexible framework and employ it to derive and analyze some aspects of optimal liquidation problem in a security market. We illustrate how a trader's liquidation strategy alters when multiple venues and extra information are brought into the security market and detected by the trader. This study gives some new insights into the relationship between liquidation strategy and market liquidity, and provides a multi-scale approach to the optimal liquidation problem with randomly varying volatility.

Date: 2016-07, Revised 2017-08
New Economics Papers: this item is included in nep-mst
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1607.04553

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