When executing a large order of stocks in a market,one important factor in forming the optimal trading strategy is to consider the price impact of large-volume trading *** a risk measure of the implementation shortfal...
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When executing a large order of stocks in a market,one important factor in forming the optimal trading strategy is to consider the price impact of large-volume trading *** a risk measure of the implementation shortfall,i.e.,the difference between the value of a trader’s initial equity position and the sum of cash flow he receives from his trading process,is essentially a stochastic control *** this study,we investigate such a practical problem under a dynamic coherent risk measure in a market in which the stock price dynamics has a feature of momentum *** develop a fast approximation solution scheme,which is critical in highfrequency *** demonstrate some prominent features of our derived solution algorithm in providing useful guidance for real implementation.
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