English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Tools annual

Global: Zendy Free Plan

Global: Zendy Tools monthly

Global: Zendy Plus monthly

We study a multiplicative transient price impact model for an illiquidfinancial market, where trading causes price impact which is multiplicative inrelation to the current price, transient over time with finite rate ofresilience, and non-linear in the order size. We construct explicit solutionsfor the optimal control and the value function of singular optimal controlproblems to maximize expected discounted proceeds from liquidating a givenasset position. A free boundary problem, describing the optimal control, issolved for two variants of the problem where admissible controls are monotoneor of bounded variation.

Optimal Asset Liquidation with Multiplicative Transient Price Impact