Periodic strategies in optimal execution with multiplicative price impact |
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Authors: | Daniel Hernndez‐Hernndez Harold A Moreno‐Franco Jos‐Luis Prez |
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Institution: | Daniel Hernández‐Hernández,Harold A. Moreno‐Franco,José‐Luis Pérez |
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Abstract: | We study the optimal execution problem with multiplicative price impact in algorithmic trading, when an agent holds an initial position of shares of a financial asset. The interselling decision times are modeled by the arrival times of a Poisson process. The criterion to be optimized consists in maximizing the expected net present value of the 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 the asset price. |
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Keywords: | multiplicative price impact optimal execution problem periodic stochastic control C610 |
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