76
views
0
recommends
+1 Recommend
0 collections
    0
    shares
      • Record: found
      • Abstract: found
      • Article: found
      Is Open Access

      Optimal Asset Liquidation with Multiplicative Transient Price Impact

      Preprint
      , ,

      Read this article at

          There is no author summary for this article yet. Authors can add summaries to their articles on ScienceOpen to make them more accessible to a non-specialist audience.

          Abstract

          We study a limit order book model for an illiquid financial market, where trading causes price impact which is multiplicative in relation to the current price, transient over time with finite rate of resilience, and non-linear in the order size. We construct explicit solutions for the optimal control and the value function of singular optimal control problems to maximize expected discounted proceeds from liquidating a given asset position. A free boundary problem, describing the optimal control, is solved for two variants of the problem where admissible controls are monotone or of bounded variation.

          Related collections

          Author and article information

          Journal
          2015-01-08
          2016-03-17
          Article
          1501.01892
          960f5840-6fdb-4884-9b1b-4a1943df9d80

          http://arxiv.org/licenses/nonexclusive-distrib/1.0/

          History
          Custom metadata
          35R35, 49J40, 49L20, 60H30, 93E20, 91G80
          This version concentrates on and improves the results in Sections 1-5 of version 1. The results from later Sections 6 and 7 from version 1 have been significantly extended and will be developed into a separate paper
          math.OC math.PR q-fin.TR

          Numerical methods,Probability,Trading & Market microstructure
          Numerical methods, Probability, Trading & Market microstructure

          Comments

          Comment on this article