scholarly journals Generalized optimal liquidation problems across multiple trading venues

2021 ◽  
Vol 0 (0) ◽  
pp. 0
Author(s):  
Qing-Qing Yang ◽  
Wai-Ki Ching ◽  
Jia-Wen Gu ◽  
Tak-Kuen Siu
Keyword(s):  
Optimal Liquidation

Optimal Liquidation Strategy Based on Stochastic and Nonlinear Price Impact and Particle Swarm Optimization

2012 ◽  
Vol 452-453 ◽  
pp. 607-612
Author(s):  
Fei Huang ◽  
Jia He Cao
Keyword(s):  
Mathematical Model ◽  
Nonlinear Function ◽  
Liquidity Risk ◽  
Concave Function ◽  
Institutional Investor ◽  
Price Impact ◽  
Swarm Optimization ◽  
Optimal Liquidation ◽  
Horizon Line ◽  
Discrete Mathematical Model

The institutional investor selling a large block of shares in the market usually faces with liquidity risk declining the stock’s prices. In the paper, supposing that temporary impact is stochastic and nonlinear function of trading velocity, we establishes the discrete mathematical model and uses PSO to obtain the optimal liquidation strategies of risk aversion, which is a strict concave function. When analyzing the sensitivity of the parameters, we find that the curve becomes higher and steeper with the increase of the parameters or the decrease of , .As the parameter is tremendous, the curve is close to a horizon line.

OPTIMAL LIQUIDATION AND ADVERSE SELECTION IN DARK POOLS

2016 ◽  
Vol 28 (1) ◽  
pp. 177-210 ◽  
Author(s):  
Peter Kratz ◽  
Torsten Schöneborn
Keyword(s):  
Adverse Selection ◽  
Optimal Liquidation ◽  
Dark Pools

scholarly journals Optimal liquidation under stochastic liquidity

2017 ◽  
Vol 22 (1) ◽  
pp. 39-68 ◽  
Author(s):  
Dirk Becherer ◽  
Todor Bilarev ◽  
Peter Frentrup
Keyword(s):  
Optimal Liquidation

Pairs Trading with Opportunity Cost

2014 ◽  
Vol 51 (01) ◽  
pp. 282-286 ◽  
Author(s):  
Carl Lindberg
Keyword(s):  
Opportunity Cost ◽  
Trading Strategy ◽  
The Other ◽  
Recent History ◽  
Investment Opportunity ◽  
Financial Industry ◽  
Pairs Trading ◽  
Uhlenbeck Process ◽  
Optimal Liquidation ◽  
Ornstein Uhlenbeck Process

Pairs trading is a trading strategy which is used very frequently in the financial industry. An investment opportunity arises when the spread between two assets, which historically have exhibited autoregressive behavior, deviates from its recent history. In this case, the investor takes a long position in the asset which is expected to outperform going forward and finances this by taking a short position in the other one. If the spread converges, the investor can close both positions to generate a profit. We model the spread between two assets as an Ornstein-Uhlenbeck process and assume a constant opportunity cost. We then study the optimal liquidation strategy for an investor who wants to optimize profit in excess of the opportunity cost. Including this cost is important from an applied perspective, as the performance of any investment is always evaluated relative to the performance of the opportunity set.

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