Optimal order placement

OMI Seminar Series

We consider a broker who has to place a large order which consumes a sizable part of average daily trading volume. By contrast to the previous literature, we allow the liquidity parameters of market depth and resilience to vary deterministically over the course of the trading period. The resulting singular optimal control problem is shown to be tractable by methods from convex analysis and, under minimal assumptions, we construct an explicit solution to the scheduling problem in terms of some concave envelope of the resilience adjusted market depth. 


Peter Bank (Berlin)

Tuesday, October 16, 2012 - 14:15
to 15:15