scholarly journals Theoretical and numerical analysis of an optimal execution problem with uncertain market impact

2015 ◽  
Vol 9 (3) ◽  
Author(s):  
Kensuke Ishitani ◽  
Takashi Kato
Keyword(s):  
Numerical Analysis ◽  
Market Impact ◽  
Optimal Execution ◽  
Theoretical And Numerical Analysis ◽  
Optimal Execution Problem

scholarly journals A dynamic optimal execution strategy under stochastic price recovery

2015 ◽  
Vol 02 (04) ◽  
pp. 1550025 ◽  
Author(s):  
Masashi Ieda
Keyword(s):  
Order Book ◽  
Market Impact ◽  
Time Step ◽  
Limit Order ◽  
Optimal Execution ◽  
Execution Strategy ◽  
Quasi Variational Inequality ◽  
Finite Time Horizon ◽  
Hamilton Jacobi Bellman ◽  
Optimal Execution Problem

In the present paper, we study the optimal execution problem under stochastic price recovery based on limit order book dynamics. We model price recovery after execution of a large order by accelerating the arrival of the refilling order, which is defined as a Cox process whose intensity increases by the degree of the market impact. We include not only the market order, but also the limit order in our strategy in a restricted fashion. We formulate the problem as a combined stochastic control problem over a finite time horizon. The corresponding Hamilton–Jacobi–Bellman quasi-variational inequality is solved numerically. The optimal strategy obtained consists of three components: (i) the initial large trade; (ii) the unscheduled small trades during the period; (iii) the terminal large trade. The size and timing of the trade is governed by the tolerance for market impact depending on the state at each time step, and hence the strategy behaves dynamically. We also provide competitive results due to inclusion of the limit order, even though a limit order is allowed under conservative evaluation of the execution price.

scholarly journals Theoretical and numerical analysis of the evaporation of mono- and multicomponent single fuel droplets

2021 ◽  
Vol 910 ◽  
Author(s):  
Alejandro Millán-Merino ◽  
Eduardo Fernández-Tarrazo ◽  
Mario Sánchez-Sanz
Keyword(s):  
Numerical Analysis ◽  
Fuel Droplets ◽  
Theoretical And Numerical Analysis

Abstract

Sign in / Sign up

Export Citation Format

Share Document