2016/07/15 by Qingqing Yang, Yang, Qing-Qing, Wai-Ki Ching +5
Economics, Econometrics and Finance · #Economic theories and models #FOS: Economics and business #Financial Risk and Volatility Modeling #Stochastic processes and financial applications #Trading and Market Microstructure (q-fin.TR)
paper · pdf · doi:10.48550/arxiv.1607.04553
openalex publication_date 2016/07/15 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In this paper, we generalize the Almgren-Chriss's market impact model to a more realistic and flexible framework and employ it to derive and analyze some aspects of optimal liquidation problem in a security market. We illustrate how a trader's liquidation strategy alters when multiple venues and extra information are brought into the security market and detected by the trader. This study gives some new insights into the relationship between liquidation strategy and market liquidity, and provides a multi-scale approach to the optimal liquidation problem with randomly varying volatility.