2020年10月
Optimal and equilibrium execution strategies with generalized price impact
QUANTITATIVE FINANCE
- ,
- 巻
- 20
- 号
- 10
- 開始ページ
- 1625
- 終了ページ
- 1644
- 記述言語
- 英語
- 掲載種別
- 研究論文(学術雑誌)
- DOI
- 10.1080/14697688.2020.1749294
- 出版者・発行元
- ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
This paper examines the execution problems of large traders with a generalized price impact. Constructing two related models in a discrete-time setting, we solve these problems by applying the backward induction method of dynamic programming. In the first problem, we formulate the expected utility maximization problem of a single large trader as a Markov decision process and derive an optimal execution strategy. Then, in the second model, we formulate the expected utility maximization problem of two large traders as a Markov game and derive an equilibrium execution strategy at a Markov perfect equilibrium. Both of these two models enable us to investigate how the execution strategies and trade performances of a large trader are affected by the existence of other traders. Moreover, we find that these optimal and equilibrium execution strategies become deterministic when the total execution volumes of non-large traders are deterministic. We also show, by some numerical examples, the comparative statics results with respect to several problem parameters.
- リンク情報
- ID情報
-
- DOI : 10.1080/14697688.2020.1749294
- ISSN : 1469-7688
- eISSN : 1469-7696
- Web of Science ID : WOS:000535343300001