{"title":"非线性浮动价格影响下的平仓","authors":"Paolo Guasoni, Ali Sanjari","doi":"10.1002/hf2.10027","DOIUrl":null,"url":null,"abstract":"<p>This paper solves the infinite-horizon optimal liquidation problem in a market with float-dependent, nonlinear temporary price impact. The investor's value function and optimal strategy are identified as the unique classical solutions of nonlinear parabolic partial differential equations. Depending on the price impact parameters, liquidation may require finite or infinite time.</p>","PeriodicalId":100604,"journal":{"name":"High Frequency","volume":"2 2","pages":"85-94"},"PeriodicalIF":0.0000,"publicationDate":"2019-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1002/hf2.10027","citationCount":"0","resultStr":"{\"title\":\"Liquidation with nonlinear float-dependent price impact\",\"authors\":\"Paolo Guasoni, Ali Sanjari\",\"doi\":\"10.1002/hf2.10027\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>This paper solves the infinite-horizon optimal liquidation problem in a market with float-dependent, nonlinear temporary price impact. The investor's value function and optimal strategy are identified as the unique classical solutions of nonlinear parabolic partial differential equations. Depending on the price impact parameters, liquidation may require finite or infinite time.</p>\",\"PeriodicalId\":100604,\"journal\":{\"name\":\"High Frequency\",\"volume\":\"2 2\",\"pages\":\"85-94\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2019-02-07\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://sci-hub-pdf.com/10.1002/hf2.10027\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"High Frequency\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://onlinelibrary.wiley.com/doi/10.1002/hf2.10027\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"High Frequency","FirstCategoryId":"1085","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1002/hf2.10027","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Liquidation with nonlinear float-dependent price impact
This paper solves the infinite-horizon optimal liquidation problem in a market with float-dependent, nonlinear temporary price impact. The investor's value function and optimal strategy are identified as the unique classical solutions of nonlinear parabolic partial differential equations. Depending on the price impact parameters, liquidation may require finite or infinite time.
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号
