Optimal trade execution under endogenous pressure to liquidate: theory and numerical solutions


We study optimal liquidation of a trading position (so-called-block-order or meta-order) in a market with a linear temporary price impact (Kyle, 1985). We endogenize the pressure to liquidate by introducing a downward drift in... [ view full abstract ]


  1. Pavol Brunovský (Comenius University Bratislava)
  2. Aleš Černý (Cass Business School, City, University of London)
  3. Ján Komadel (Comenius University Bratislava)

Topic Areas

Liquidity , Optimal Execution , Partial Differential Equations


FR-A-SW » Information Models (10:00 - Friday, 20th July, Swift)

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