GENERALIZED OPTIMAL LIQUIDATION PROBLEMS ACROSS MULTIPLE TRADING VENUES

Yang，Qing Qing1; Ching，Wai Ki1; Gu，Jia Wen2; Siu，Tak Kuen3

2022

10.3934/jimo.2021109

Journal of Industrial and Management Optimization   Impact Factor & Quartile

1547-5816

1553-166X

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.

Dynamic programming (dp) Hamilton-jacobi-bellman (hjb) equation Limit order (lo) Market order (mo) Multi-scale stochastic volatility model Quadratic variation

SCI ; EI

English

Others

National Natural Science Foundation of China[11671158];

WOS:000706076600001

20223312573345

Commerce ; Economic analysis ; Stochastic models ; Stochastic systems

Control Systems:731.1 ; Industrial Economics:911.2 ; Optimization Techniques:921.5 ; Probability Theory:922.1 ; Systems Science:961

2-s2.0-85135779707

Scopus

1.Department of Mathematics The University of Hong Kong,Pokfulam Road,Hong Kong,Hong Kong
2.Department of Mathematics,Southern University of Science and Technology,Shenzhen,China
3.Department of Actuarial Studies and Business Analytics,Macquarie Business School Macquarie University,Sydney,Australia

Yang，Qing Qing,Ching，Wai Ki,Gu，Jia Wen,et al. GENERALIZED OPTIMAL LIQUIDATION PROBLEMS ACROSS MULTIPLE TRADING VENUES[J]. Journal of Industrial and Management Optimization,2022,18(5):3215-3231.

Yang，Qing Qing,Ching，Wai Ki,Gu，Jia Wen,&Siu，Tak Kuen.(2022).GENERALIZED OPTIMAL LIQUIDATION PROBLEMS ACROSS MULTIPLE TRADING VENUES.Journal of Industrial and Management Optimization,18(5),3215-3231.

Yang，Qing Qing,et al."GENERALIZED OPTIMAL LIQUIDATION PROBLEMS ACROSS MULTIPLE TRADING VENUES".Journal of Industrial and Management Optimization 18.5(2022):3215-3231.