Generalized Optimal Liquidation Problems Across Multiple Trading Venues
Trading and Market Microstructure
2017-08-07 v4
Abstract
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.
Keywords
Cite
@article{arxiv.1607.04553,
title = {Generalized Optimal Liquidation Problems Across Multiple Trading Venues},
author = {Qing-Qing Yang and Wai-Ki Ching and Jia-Wen Gu and Tak-Kuen Siu},
journal= {arXiv preprint arXiv:1607.04553},
year = {2017}
}