Premium
Periodic strategies in optimal execution with multiplicative price impact
Author(s) -
HernándezHernández Daniel,
MorenoFranco Harold A.,
Pérez JoséLuis
Publication year - 2019
Publication title -
mathematical finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.98
H-Index - 81
eISSN - 1467-9965
pISSN - 0960-1627
DOI - 10.1111/mafi.12208
Subject(s) - multiplicative function , position (finance) , asset (computer security) , mathematical optimization , value (mathematics) , computer science , poisson distribution , economics , mathematical economics , econometrics , mathematics , finance , statistics , mathematical analysis , computer security , machine learning
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.