Search Results - subject:"Optimal Liquidation"

Optimal liquidation using extended trading close for multiple trading days

Zhu, Janchang; Zhang, Leilei; Sun, Xuchu - In: Financial innovation : FIN 10 (2024), pp. 1-33

The extended trading close (ETC) provides institutional investors an opportunity to trade at the closing price after the regular trading session (RTS) and disclosing the order imbalances to other market participants. ETCs exist in the Nasdaq, the SSE STAR, the SZSE ChiNext and the TWSE. To help...

Persistent link: https://www.econbiz.de/10014541683

Optimal liquidation with high risk aversion and small linear price impact

Dolinskyi, Leonid; Dolinsky, Yan - In: Decisions in economics and finance : a journal of … 47 (2024) 1, pp. 183-198

Persistent link: https://www.econbiz.de/10015044793

Deep learning solution to mean field game of optimal liquidation

Zhang, Shuhua; Qian, Shenghua; Wang, Xinyu; Cheng, Yilin - In: Finance research letters 73 (2025), pp. 1-10

Persistent link: https://www.econbiz.de/10015211457

Optimal liquidation, acquisition and market making problems in HFT under Hawkes models for LOB

Contreras, Ana Roldan; Sviščuk, Anatolij - In: Risks : open access journal 10 (2022) 8, pp. 1-32

The present paper is focused on the solution of optimal control problems such as optimal acquisition, optimal … liquidation, and market making in relation to the high-frequency trading market. We have modeled optimal control problems with the …

Persistent link: https://www.econbiz.de/10013368241

Optimal trade execution for Gaussian signals with power-law resilience

Forde, Martin; Sánchez-Betancourt, Leandro; Smith, Benjamin - In: Quantitative finance 22 (2022) 3, pp. 585-596

Persistent link: https://www.econbiz.de/10013167782

Optimal liquidation policies of redeemable shares

Battauz, Anna; Rotondi, Francesco - In: Computational management science 21 (2024) 2, pp. 1-32

Persistent link: https://www.econbiz.de/10015195797

Viscosity solution for optimal liquidation problems with randomly-terminated horizon

Yang, Qing-Qing; Ching, Wai Ki; Gu, Jia-wen; Wong, Tak Kwong - In: Finance research letters 61 (2024), pp. 1-15

Persistent link: https://www.econbiz.de/10014491014

Optimal intertemporal liquidation of institutional investors with cash requirements and viable loans

Lee, Dongyeol; Kim, Woo Chang - In: The European journal of finance 30 (2024) 6, pp. 618-641

Persistent link: https://www.econbiz.de/10014547977

Optimal liquidation problem in illiquid markets

Sadoghi, Amirhossein; Večeř, Jan - In: European journal of operational research : EJOR 296 (2022) 3, pp. 1050-1066

Persistent link: https://www.econbiz.de/10013256904

Optimal liquidation problems and HJB equations with singular terminal condition

Graewe, Paulwin - 2017

Persistent link: https://www.econbiz.de/10012613268