Optimal liquidation with non-linear permanent price impact
This study addresses a basic model to solve a problem of liquidation of shares, which does not take into consideration the round trip trade, a fundamental concept for establishing the condition of linearity of the permanent impact, and excluded from that imposition, the change in the optimal policie...
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| Formato: | Tesis de maestría (Master Thesis) |
| Lenguaje: | Español (Spanish) |
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Universidad del Rosario
2019
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| Acceso en línea: | http://repository.urosario.edu.co/handle/10336/20022 |
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ir-10336-200222019-09-19T12:37:01Z Optimal liquidation with non-linear permanent price impact Sánchez López, Julián Fernando Ramirez, Hugo E. Optimal stochastic control Non-linear permanent price impact Liquidation of shares Hamilton Jacobi Bellman Finite difference method Economía financiera Teoría del control estocástico Acciones (bolsa) Diferencias finitas This study addresses a basic model to solve a problem of liquidation of shares, which does not take into consideration the round trip trade, a fundamental concept for establishing the condition of linearity of the permanent impact, and excluded from that imposition, the change in the optimal policies for the liquidation of a number of shares is explored from an analytical and a numerical perspective, when the functional form of the permanent price impact is non-linear. 2019-06-13 2019-07-31T13:58:01Z info:eu-repo/semantics/masterThesis info:eu-repo/semantics/acceptedVersion http://repository.urosario.edu.co/handle/10336/20022 spa Atribución-NoComercial-SinDerivadas 2.5 Colombia http://creativecommons.org/licenses/by-nc-nd/2.5/co/ info:eu-repo/semantics/openAccess application/pdf Universidad del Rosario Maestría en Finanzas Cuantitativas Facultad de Economía instname:Universidad del Rosario reponame:Repositorio Institucional EdocUR Alfonsi, A. Fruth, A. and Schied, A. (2010). Optimal execution strategies in limit order books with general shape functions. Quantitative Finance, Taylor Almgren, R., Chriss, N. (2000). Optimal execution of portfolio transactions. J. Risk 3, 5-39 Barger, W. & Lorig, M. (2018). Optimal Liquidation Under Stochastic Price Impact. International Journal of Theoretical and Applied Finance Barles G. and Souganidis, P.E. (1991). Convergence of approximation schemes for fully nonlinear second order equations. Asymptotic Analysis, 4(3):271-283. Bellman, R. & Dreyfus, S. (1962). Applied dynamic programming. A report kprepared for United States Air Force project RAND. Bershova, N. & Rakhlin, D. (2013). The Non-Linear Market Impact of Large Trades: Evidence from Buy-Side Order Flow. Quantitative Finance. Vol. 13, No. 11, 1759 - 1778. Cartea, A., Jaimungal, S. & Penalva, J. (2015). Algorithmic and high-frequency trading. Cambridge University Press. Cartea, A. & Jaimungal S. (2016)(A). A closed-form execution strategy to target volume weighted average price. SIAM Journal on Financial Mathematics 7(1), 760-785. Cartea, A. & Jaimungal S. (2016)(B). Incorporating order-flow into optimal execution. Mathematics and Financial Economics 10(3), 339-364. Gu´eant, O. (2014). Permanent market impact can be nonlinear. Preprint Available online at https://arxiv.org/pdf/1305.0413.pdf Gatheral, J. (2010). No-dynamic-arbitrage and market impact. Quantitative Finance,10(7):749- 759. Huberman G., Stanzl W. (2004). Price manipulation and quasi-arbitrage. Econometrica, 72(4):1247-1275 Pham, H. (2009) Continuous-time Stochastic Control and Optimization with Financial Applications. Springer. Subramanian, A. (2008). Optimal Liquidation by a Large Investor. SIAM Journal of Applied Mathematics. 68. 1168 - 1201. Tóth, B., Eisler, Z., Bouchaud, J.P. (2016). The square-root impact law also holds for option markets. Wilmott 2016(85), 70 -73 |
| institution |
EdocUR - Universidad del Rosario |
| collection |
DSpace |
| language |
Español (Spanish) |
| topic |
Optimal stochastic control Non-linear permanent price impact Liquidation of shares Hamilton Jacobi Bellman Finite difference method Economía financiera Teoría del control estocástico Acciones (bolsa) Diferencias finitas |
| spellingShingle |
Optimal stochastic control Non-linear permanent price impact Liquidation of shares Hamilton Jacobi Bellman Finite difference method Economía financiera Teoría del control estocástico Acciones (bolsa) Diferencias finitas Sánchez López, Julián Fernando Optimal liquidation with non-linear permanent price impact |
| description |
This study addresses a basic model to solve a problem of liquidation of shares, which does not take into consideration the round trip trade, a fundamental concept for establishing the condition of linearity of the permanent impact, and excluded from that imposition, the change in the optimal policies for the liquidation of a number of shares is explored from an analytical and a numerical perspective, when the functional form of the permanent price impact is non-linear. |
| author2 |
Ramirez, Hugo E. |
| author_facet |
Ramirez, Hugo E. Sánchez López, Julián Fernando |
| format |
Tesis de maestría (Master Thesis) |
| author |
Sánchez López, Julián Fernando |
| author_sort |
Sánchez López, Julián Fernando |
| title |
Optimal liquidation with non-linear permanent price impact |
| title_short |
Optimal liquidation with non-linear permanent price impact |
| title_full |
Optimal liquidation with non-linear permanent price impact |
| title_fullStr |
Optimal liquidation with non-linear permanent price impact |
| title_full_unstemmed |
Optimal liquidation with non-linear permanent price impact |
| title_sort |
optimal liquidation with non-linear permanent price impact |
| publisher |
Universidad del Rosario |
| publishDate |
2019 |
| url |
http://repository.urosario.edu.co/handle/10336/20022 |
| _version_ |
1645141865092087808 |
| score |
12,131701 |