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The market impact (MI) of Volume Weighted Average Price (VWAP) orders is a convex function of a trading rate, but most empirical estimates of transaction cost are concave functions. How is this possible? We show that isochronic (constant trading time) MI is slightly convex, and isochoric...
Persistent link: https://www.econbiz.de/10010721357
Laplace transformation is one of the most popular methods of solution of diffusion equations in many areas of science and technology. It is much less used in financial engineering. One reason is obvious: it is not supposed to be a way to solve a Nobel Prize winning problem. Another one is...
Persistent link: https://www.econbiz.de/10013082299
This paper discusses European option pricing under various discontinuous conditions: option and underlying prices as well as volatility and drift coefficients experience breaks. We consider vanilla and double-barrier options under double-exponential jump diffusion model with jump drift and jump...
Persistent link: https://www.econbiz.de/10013159329
The market impact (MI) of Volume Weighted Average Price (VWAP) orders is a slightly convex function of a trading rate, but most empirical estimates of transaction cost are concave functions. How is this possible? We suggest a model that ts all trading regimes and guarantees no-dynamic-arbitrage
Persistent link: https://www.econbiz.de/10013058402
Optimal execution of portfolio transactions is the essential part of algorithmic trading. The main result of this paper is the analytical equationfor the optimal trading trajectories with the assumption of exponential market recovery and short-time investment horizon. The formula has the same...
Persistent link: https://www.econbiz.de/10013035460
Medium frequency trading strategies include all trading activities, that do not require market microstructure analysis on one side and signi cantly depend on market impact on the other side. The most important di erence from high frequency trading is the ability to analyze big amount of data...
Persistent link: https://www.econbiz.de/10013080039
In this presentation we consider the management of big portfolios that risk trading desks of major financial institutions usually execute on daily basis. We take into account overnight risk for multiple days liquidation algorithm. We also discuss market impact models and the difference between...
Persistent link: https://www.econbiz.de/10013080236
The market impact (MI) of Volume Weighted Average Price (VWAP) orders is a convex function of a trading rate, but most empirical estimates of transaction cost are concave functions. How is this possible? We show that isochronic (constant trading time) MI is slightly convex, and isochoric...
Persistent link: https://www.econbiz.de/10013063405
We combine forward investment performance processes and ambiguity averse portfolio selection. We introduce the notion of robust forward criteria which addresses the issues of ambiguity in model specification and in preferences and investment horizon specification. It describes the evolution of...
Persistent link: https://www.econbiz.de/10010990707
In quantitative finance, we often model asset prices as a noisy Ito semimartingale. As this model is not identifiable, approximating by a time-changed Levy process can be useful for generative modelling. We give a new estimate of the normalised volatility or time change in this model, which...
Persistent link: https://www.econbiz.de/10010990708