Periodic strategies in optimal execution with multiplicative price impact

Daniel Hern\'andez-Hern\'andez, Harold A. Moreno-Franco and Jos\'e Luis P\'erez

Papers from arXiv.org

Abstract: In this work we study the optimal execution problem with multiplicative price impact in algorithm trading, when an agent holds an initial position of shares of a financial asset. The inter-selling-decision times are modelled by the arrival times of a Poisson process. The criterion to be optimised consists in maximising the expected net present value of 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 asset price.

Date: 2017-04, Revised 2018-05
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1705.00284 Latest version (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:arx:papers:1705.00284

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().