文章基本信息

标题：Optimal Execution in Illiquid Market with the Absence of Price Manipulation
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作者：Seiya Kuno 1 , Masamitsu Ohnishi
期刊名称：Journal of Mathematical Finance
印刷版ISSN：2162-2434
电子版ISSN：2162-2442
出版年度：2015
卷号：05
期号：01
页码：1-14
DOI：10.4236/jmf.2015.51001
语种：English
出版社：Scientific Research Publishing
摘要：This article shows the execution performance of the risk-averse institutional trader with constant absolute risk aversion (CARA) type utility by using the condition of no price manipulation defined in the risk neutral sense. From two linear price impact models both satisfying that condition, we have derived the unique explicit optimal execution strategy calculated backwardly with dynamic programming equations. And our study shows that the optimal execution strategy exists in the static class. The derived solution can be decomposed into mainly two components, each giving an explanation of the property of optimal execution volume. Moreover we propose two conditions in order to compare the performance of these two price models, and illustrate that the performances of the two models are surprisingly different under certain conditions.
关键词：Optimal Execution; Price Manipulation; Algorithmic Trading