Mathematical Formulation of an Optimal Execution Problem with Uncertain Market Impact

@article{Ishitani2013MathematicalFO,
  title={Mathematical Formulation of an Optimal Execution Problem with Uncertain Market Impact},
  author={Kensuke Ishitani and Takashi Kato},
  journal={ERN: Optimization Techniques; Programming Models; Dynamic Analysis (Topic)},
  year={2013}
}
  • Kensuke Ishitani, Takashi Kato
  • Published 2013
  • Economics, Computer Science, Mathematics
  • ERN: Optimization Techniques; Programming Models; Dynamic Analysis (Topic)
We study an optimal execution problem with uncertain market impact to derive a more realistic market model. We construct a discrete-time model as a value function for optimal execution. Market impact is formulated as the product of a deterministic part increasing with execution volume and a positive stochastic noise part. Then, we derive a continuous-time model as a limit of a discrete-time value function. We find that the continuous-time value function is characterized by a stochastic control… Expand
An Optimal Execution Problem with S-shaped Market Impact Functions
An Optimal Execution Problem with S-Shaped Market Impact Functions
Theoretical and Numerical Analysis of an Optimal Execution Problem with Uncertain Market Impact

References

SHOWING 1-10 OF 38 REFERENCES
An optimal execution problem with market impact
  • Takashi Kato
  • Mathematics, Computer Science
  • Finance Stochastics
  • 2014
Optimal Execution Under Jump Models For Uncertain Price Impact
Optimal execution strategies in limit order books with general shape functions
VWAP execution as an optimal strategy
Large investor trading impacts on volatility
Optimal execution of portfolio trans-actions
...
1
2
3
4
...