Non-Linearity, Resilience, Uncertainty of Market Impact Functions and Their Effects on Execution Strategies(<Special Topics>Activity Group "Mathematical Finance")

• Ishitani Kensuke

  Faculty of Science and Technology, Meijo University

• Kato Takashi

  Graduate School of Engineering Science, Osaka University

Bibliographic Information

Other Title

• マーケットインパクトの非線形性,弾力性,不確実性及びそれらの執行戦略への影響について(<特集>数理ファイナンス)
• マーケットインパクトの非線形性,弾力性,不確実性及びそれらの執行戦略への影響について
• マーケットインパクト ノ ヒセンケイセイ,ダンリョクセイ,フカクジツセイ オヨビ ソレラ ノ シッコウ センリャク エ ノ エイキョウ ニ ツイテ

Abstract

Market impact is an effect of the investment behavior of traders on security prices, and is one of the typical liquidity problems in financial markets. In this paper, we propose a mathematical model of optimal execution problem for a risk-neutral trader in the case of non-linearity, resilience, uncertainty in market impact. We also discuss the effects of each factor on a risk-neutral trader's execution strategy through numerical examples.

Journal

• Transactions of the Japan Society for Industrial and Applied Mathematics

  Transactions of the Japan Society for Industrial and Applied Mathematics 24 (3), 253-274, 2014

  The Japan Society for Industrial and Applied Mathematics

Details

• CRID: 1390282680745320192
• NII Article ID: 110009863513
• NII Book ID: AN10367166
• ISSN: 09172246
• ISSN: 24240982
• DOI: 10.11540/jsiamt.24.3_253
• NDL BIB ID: 025834629
• Web Site: https://ndlsearch.ndl.go.jp/books/R000000004-I025834629
• Text Lang: ja
• Data Source:
  • JaLC
  • NDL
  • CiNii Articles
• Abstract License Flag: Disallowed