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Optimal Trade Execution under Jump Diffusion Process: A Mean-VaR Approach
Joint Authors
Li, Handong
Zhou, Tianmin
Jia, Can
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2018, Issue 2018 (31 Dec. 2018), pp.1-11, 11 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2018-10-01
Country of Publication
Egypt
No. of Pages
11
Main Subjects
Abstract EN
In the classical optimal execution problem, the basic assumption of underlying asset price is Arithmetic Brownian Motion (ABM) or Geometric Brownian Motion (GBM).
However, many empirical researches show that the return distribution of assets may have heavy tails than those of normal distribution.
The uncertain information impact on financial market may be considered as one of the main reasons for heavy tails of return distribution.
To introduce this information impact, our paper proposes a Jump Diffusion model for optimal execution problem.
The jumps in our model are described by the compound Poisson process where random jump amplitude depicts the information impact on price process.
In particular, the model is simple enough to derive closed-form strategies under risk neutral and Mean-VaR criterion.
Simulation analysis of the model is also presented.
American Psychological Association (APA)
Zhou, Tianmin& Jia, Can& Li, Handong. 2018. Optimal Trade Execution under Jump Diffusion Process: A Mean-VaR Approach. Discrete Dynamics in Nature and Society،Vol. 2018, no. 2018, pp.1-11.
https://search.emarefa.net/detail/BIM-1152634
Modern Language Association (MLA)
Zhou, Tianmin…[et al.]. Optimal Trade Execution under Jump Diffusion Process: A Mean-VaR Approach. Discrete Dynamics in Nature and Society No. 2018 (2018), pp.1-11.
https://search.emarefa.net/detail/BIM-1152634
American Medical Association (AMA)
Zhou, Tianmin& Jia, Can& Li, Handong. Optimal Trade Execution under Jump Diffusion Process: A Mean-VaR Approach. Discrete Dynamics in Nature and Society. 2018. Vol. 2018, no. 2018, pp.1-11.
https://search.emarefa.net/detail/BIM-1152634
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1152634