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A Class of Optimal Liquidation Problem with a Nonlinear Temporary Market Impact
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-12-24
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Abstract EN
We extend the self-exciting model by assuming that the temporary market impact is nonlinear and the coefficient of the temporary market impact is an exponential function.
Through optimal control method, the optimal strategy satisfies the second-order nonlinear ordinary differential equation.
The specific form of the optimal strategy is given, and the decreasing property of the optimal strategy is proved.
A numerical example is given to illustrate the financial implications of the model parameter changes.
We find that the optimal strategy of a risk-neutral investor changes with time and investment environment.
American Psychological Association (APA)
Ma, Jiangming& Gao, Di. 2020. A Class of Optimal Liquidation Problem with a Nonlinear Temporary Market Impact. Mathematical Problems in Engineering،Vol. 2020, no. 2020, pp.1-7.
https://search.emarefa.net/detail/BIM-1196925
Modern Language Association (MLA)
Ma, Jiangming& Gao, Di. A Class of Optimal Liquidation Problem with a Nonlinear Temporary Market Impact. Mathematical Problems in Engineering No. 2020 (2020), pp.1-7.
https://search.emarefa.net/detail/BIM-1196925
American Medical Association (AMA)
Ma, Jiangming& Gao, Di. A Class of Optimal Liquidation Problem with a Nonlinear Temporary Market Impact. Mathematical Problems in Engineering. 2020. Vol. 2020, no. 2020, pp.1-7.
https://search.emarefa.net/detail/BIM-1196925
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1196925