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A Class of Optimal Liquidation Problem with a Nonlinear Temporary Market Impact
- Source :
- Mathematical Problems in Engineering, Vol 2020 (2020)
- Publication Year :
- 2020
- Publisher :
- Hindawi, 2020.
-
Abstract
- 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.
- Subjects :
- Class (set theory)
Mathematical optimization
050208 finance
Article Subject
General Mathematics
05 social sciences
General Engineering
Engineering (General). Civil engineering (General)
Investment (macroeconomics)
Optimal control
01 natural sciences
Nonlinear differential equations
Exponential function
010104 statistics & probability
Nonlinear system
Model parameter
0502 economics and business
QA1-939
TA1-2040
0101 mathematics
Market impact
Mathematics
Subjects
Details
- Language :
- English
- ISSN :
- 1024123X
- Database :
- OpenAIRE
- Journal :
- Mathematical Problems in Engineering
- Accession number :
- edsair.doi.dedup.....685ac3a411f006ab0608e2e8bcec4b12
- Full Text :
- https://doi.org/10.1155/2020/6614177