Tuesday, 13:45 - 14:10 h, Room: H 3027

 

Qihang Lin
First-order algorithms for optimal trade execution with dynamic risk measures

Coauthor: Javier Pena

 

Abstract:
We propose a model for optimal trade execution in an illiquid market that minimizes a coherent dynamic risk of the sequential transaction costs. The prices of the assets are modeled as a discrete random walk perturbed by both temporal and permanent impacts induced by the trading volume. We show that the optimal strategy is time-consistent and deterministic if the dynamic risk measure satisfies a Markov property. We also show that our optimal execution problem can be formulated as a convex program, and propose an accelerated first-order method that computes its optimal solution. The efficiency and scalability of our approaches are illustrated via numerical experiments.

 

Talk 2 of the invited session Tue.2.H 3027
"Financial optimization" [...]
Cluster 7
"Finance & economics" [...]

 

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