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pro vyhledávání: '"Sánchez López, Julián Fernando"'
Este artículo estudia la liquidación óptima de activos financieros en la presencia de impactos de precio temporales y permanentes. Empezamos presentando soluciones analíticas al problema con impacto temporal lineal, y impacto permantente lineal y
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::809b255992e711e5ab8112497a299e26
Publikováno v:
Alfonsi, A. Fruth, A. and Schied, A. (2010). Optimal execution strategies in limit order books with general shape functions. Quantitative Finance, Taylor
Almgren, R., Chriss, N. (2000). Optimal execution of portfolio transactions. J. Risk 3, 5-39
Barger, W. & Lorig, M. (2018). Optimal Liquidation Under Stochastic Price Impact. International Journal of Theoretical and Applied Finance
Barles G. and Souganidis, P.E. (1991). Convergence of approximation schemes for fully nonlinear second order equations. Asymptotic Analysis, 4(3):271-283.
Bellman, R. & Dreyfus, S. (1962). Applied dynamic programming. A report kprepared for United States Air Force project RAND.
Bershova, N. & Rakhlin, D. (2013). The Non-Linear Market Impact of Large Trades: Evidence from Buy-Side Order Flow. Quantitative Finance. Vol. 13, No. 11, 1759-1778.
Cartea, A., Jaimungal, S. & Penalva, J. (2015). Algorithmic and high-frequency trading. Cambridge University Press.
Cartea, A. & Jaimungal S. (2016)(A). A closed-form execution strategy to target volume weighted average price. SIAM Journal on Financial Mathematics 7(1), 760-785.
Cartea, A. & Jaimungal S. (2016)(B). Incorporating order-flow into optimal execution. Mathematics and Financial Economics 10(3), 339-364.
Gu´eant, O. (2014). Permanent market impact can be nonlinear. Preprint Available online at https://arxiv.org/pdf/1305.0413.pdf
Gatheral, J. (2010). No-dynamic-arbitrage and market impact. Quantitative Finance,10(7):749-759.
Huberman G., Stanzl W. (2004). Price manipulation and quasi-arbitrage. Econometrica, 72(4):1247-1275
Pham, H. (2009) Continuous-time Stochastic Control and Optimization with Financial Applications. Springer.
Subramanian, A. (2008). Optimal Liquidation by a Large Investor. SIAM Journal of Applied Mathematics. 68. 1168-1201.
Tóth, B., Eisler, Z., Bouchaud, J.P. (2016). The square-root impact law also holds for option markets. Wilmott 2016(85), 70-73
Repositorio EdocUR-U. Rosario
Universidad del Rosario
instacron:Universidad del Rosario
Almgren, R., Chriss, N. (2000). Optimal execution of portfolio transactions. J. Risk 3, 5-39
Barger, W. & Lorig, M. (2018). Optimal Liquidation Under Stochastic Price Impact. International Journal of Theoretical and Applied Finance
Barles G. and Souganidis, P.E. (1991). Convergence of approximation schemes for fully nonlinear second order equations. Asymptotic Analysis, 4(3):271-283.
Bellman, R. & Dreyfus, S. (1962). Applied dynamic programming. A report kprepared for United States Air Force project RAND.
Bershova, N. & Rakhlin, D. (2013). The Non-Linear Market Impact of Large Trades: Evidence from Buy-Side Order Flow. Quantitative Finance. Vol. 13, No. 11, 1759-1778.
Cartea, A., Jaimungal, S. & Penalva, J. (2015). Algorithmic and high-frequency trading. Cambridge University Press.
Cartea, A. & Jaimungal S. (2016)(A). A closed-form execution strategy to target volume weighted average price. SIAM Journal on Financial Mathematics 7(1), 760-785.
Cartea, A. & Jaimungal S. (2016)(B). Incorporating order-flow into optimal execution. Mathematics and Financial Economics 10(3), 339-364.
Gu´eant, O. (2014). Permanent market impact can be nonlinear. Preprint Available online at https://arxiv.org/pdf/1305.0413.pdf
Gatheral, J. (2010). No-dynamic-arbitrage and market impact. Quantitative Finance,10(7):749-759.
Huberman G., Stanzl W. (2004). Price manipulation and quasi-arbitrage. Econometrica, 72(4):1247-1275
Pham, H. (2009) Continuous-time Stochastic Control and Optimization with Financial Applications. Springer.
Subramanian, A. (2008). Optimal Liquidation by a Large Investor. SIAM Journal of Applied Mathematics. 68. 1168-1201.
Tóth, B., Eisler, Z., Bouchaud, J.P. (2016). The square-root impact law also holds for option markets. Wilmott 2016(85), 70-73
Repositorio EdocUR-U. Rosario
Universidad del Rosario
instacron:Universidad del Rosario
This study addresses a basic model to solve a problem of liquidation of shares, which does not take into consideration the round trip trade, a fundamental concept for establishing the condition of linearity of the permanent impact, and excluded from
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5293b25808e4a91077dc53a8c7b60657
http://repository.urosario.edu.co/handle/10336/20022
http://repository.urosario.edu.co/handle/10336/20022