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Portfolio liquidation under factor uncertainty
Horst, Ulrich; Xia, Xiaonyu; Zhou, Chao - 2021
We study an optimal liquidation problem under the ambiguity with respect to price impact parameters. Our main results show that the value function and the optimal trading strategy can be characterized by the solution to a semi-linear PDE with superlinear gradient, monotone generator and singular...
Persistent link: https://www.econbiz.de/10012500352
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Order exposure and liquidity coordination : does hidden liquidity harm price efficiency?
Cebirogly, Gökhan; Hautsch, Nikolaus; Horst, Ulrich - 2017
between traders, when suppliers of liquidity do not sufficiently disclose their trade intentions. As a result, hidden … liquidity can increase trading costs and induce excess price fluctuations unrelated to information. Using NASDAQ order book data …, we find strong empirical support and illustrate that hidden liquidity is higher if bid-ask spreads are smaller and …
Persistent link: https://www.econbiz.de/10011697233
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Optimal trade execution under endogenous order flow
Chen, Ying; Hoang Hai Tran; Horst, Ulrich - 2023
We consider an optimal liquidation model in which an investor is required to execute meta-orders during intraday trading periods, and his trading activity triggers child orders and endogenously affects future order flow, both instantaneously and permanently. Under the assumptions of risk...
Persistent link: https://www.econbiz.de/10014476807