2018年
An optimal execution problem in the volume-dependent Almgren-Chriss model
Algorithmic Finance
- 巻
- 7
- 号
- 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
- ID情報
-
- DOI : 10.3233/AF-170198
- ISSN : 2157-6203
- ISSN : 2158-5571
- SCOPUS ID : 85049060560