Economic Modeling for Optimal Trading of Financial Asset in Volatile Market

We build an optimal trading model for submitting market orders in volatile market. We show some analytical properties of our computational solution. We conduct numerical simulations to investigate the model performance. In comparison with other two alternative models, the simulation results show that the performance of our model is generally superior, particularly when the market turns to be extremely bullish or bearish.

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Year of publication:	2013-07-13
Authors:	Sun, Edward W. ; Kruse, Timm
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 33.2013, 3, p. 1788-1795
Publisher:	AccessEcon
Subject:	Discrete optimization \| Liquidity \| Optimal execution \| Geometric Brownian motion

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Extent:	application/pdf
Type of publication:	Article
Classification:	G1 - General Financial Markets ; C0 - Mathematical and Quantitative Methods. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010836203