Periodic strategies in optimal execution with multiplicative price\n impact

2017/04/30 by Daniel Hernández–Hernández, Hernández-Hernández, Daniel, Harold A. Moreno‐Franco +3
Decision Sciences · Computer Science · Economics, Econometrics and Finance · #Auction Theory and Applications #Optimization and Search Problems #Economic theories and models

paper · pdf · doi:10.48550/arxiv.1705.00284

Abstract

In this work we study the optimal execution problem with multiplicative price\nimpact in algorithm trading, when an agent holds an initial position of shares\nof a financial asset. The inter-selling-decision times are modelled by the\narrival times of a Poisson process. The criterion to be optimised consists in\nmaximising the expected net present value of gains of the agent, and it is\nproved that an optimal strategy has a barrier form, depending only on the\nnumber of shares left and the level of asset price.\n

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