論文

査読有り
2018年

An optimal execution problem in the volume-dependent Almgren-Chriss model

Algorithmic Finance
  • Takashi Kato

7
1-2
開始ページ
1
終了ページ
14
記述言語
英語
掲載種別
研究論文(学術雑誌)
DOI
10.3233/AF-170198
出版者・発行元
IOS Press

In this study, we introduce an explicit trading-volume process into the Almgren-Chriss model, which is a standard model for optimal execution. We propose a penalization method for deriving a verification theorem for an adaptive optimization problem. We also discuss the optimality of the volume-weighted average-price strategy of a risk-neutral trader. Moreover, we derive a second-order asymptotic expansion of the optimal strategy and verify its accuracy numerically.

リンク情報
DOI
https://doi.org/10.3233/AF-170198
URL
https://content.iospress.com/download/algorithmic-finance/af198?id=algorithmic-finance%2Faf198
ID情報
  • DOI : 10.3233/AF-170198
  • ISSN : 2157-6203
  • ISSN : 2158-5571
  • SCOPUS ID : 85049060560

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