Научный семинар Михаила Зервоса (ЛШЭ)
Докладчик: Михаил Зервос (ЛШЭ)
Тема доклада: "Optimal Execution with Multiplicative Price Impact"
В четверг, 13 ноября в 16.40 в ауд. 3211 (ул. Шаболовка, 26) прошел научный семинар Международного института экономики и финансов.
Докладчик: Михаил Зервос (ЛШЭ)
Тема доклада: "Optimal execution with multiplicative price impact"
Тезисы доклада: We consider the so-called ``optimal execution problem'' in algorithmic trading, which is the problem faced by an investor who has a large number of stock shares to sell over a given time horizon and whose actions have impact on the stock price. In particular, we develop and study a price model that presents the stochastic dynamics of a geometric Brownian motion and incorporates a log-linear effect of the investor's transactions. We then formulate the optimal execution problem as a two-dimensional degenerate singular stochastic control problem. Using both analytic and probabilistic techniques, we establish simple conditions for the market to allow for no price manipulation and we develop a detailed characterisation of the value function and the optimal strategy. In particular, we derive an explicit solution to the problem if the time horizon is infinite.