Year: 2017
Type: preprint
Abstract: In this study, we introduce an explicit trading-volume process into the Almgren-Chriss model, which is a standard model for optimal execution. We propose a penalization method for deriving a verification theorem for an adaptive optimization problem. We also discuss the optimality of the volume-weighted average-price strategy of a risk-neutral trader. Moreover, we derive a second-order asymptotic expansion of the optimal strategy and verify its accuracy numerically.
Source: arXiv (Cornell University)
Author: Kato, Takashi
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2584322342