Optimal liquidation with non-linear permanent price impact Thesis

short description

  • Master's thesis

Thesis author

  • Sánchez López, Julián Fernando

abstract

  • 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 that imposition, the change in the optimal policies for the liquidation of a number of shares is explored from an analytical and a numerical perspective, when the functional form of the permanent price impact is non-linear.

publication date

  • July 31, 2019 1:58 PM

keywords

Document Id

  • a610aa18-4d6c-47ae-8137-a70be5490c35