Periodic strategies in optimal execution with multiplicative price impact
Mathematical Finance
2018-05-04 v2 Optimization and Control
Abstract
In this work we study the optimal execution problem with multiplicative price impact in algorithm trading, when an agent holds an initial position of shares of a financial asset. The inter-selling-decision times are modelled by the arrival times of a Poisson process. The criterion to be optimised consists in maximising the expected net present value of gains of the agent, and it is proved that an optimal strategy has a barrier form, depending only on the number of shares left and the level of asset price.
Keywords
Cite
@article{arxiv.1705.00284,
title = {Periodic strategies in optimal execution with multiplicative price impact},
author = {Daniel Hernández-Hernández and Harold A. Moreno-Franco and José Luis Pérez},
journal= {arXiv preprint arXiv:1705.00284},
year = {2018}
}