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A guided tour of new results on “Trade execution in illiquid markets”

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Blätter der DGVFM

Abstract

We give an overview of the dissertation “Trade execution in illiquid markets: Optimal stochastic control and multi-agent equilibria” (Schöneborn, PhD thesis, TU Berlin, 2008). The dissertation focuses on two questions in the field of optimal trade execution strategies: First, how should traders best sell an illiquid asset position if they want to maximize the expected utility of liquidation proceeds? And second, in a situation where one market participant needs to liquidate a position, what is the effect of other market participants obtaining advance information of this impending liquidation?

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Notes

  1. We use the terms “deterministic” and “static” interchangeably.

  2. We use the terms “adaptive” and “dynamic” interchangeably.

  3. We only require that the function f(ξ):=TempImp(ξ)⊤ ξ is nonnegative, strictly convex, continuously differentiable (C 1) and exhibits superlinear growth (lim ξ→∞ f(ξ)/|{ξ}|=∞).

References

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Authors and Affiliations

  1. Oxford, UK

    Torsten Schöneborn

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  1. Torsten Schöneborn
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Correspondence to Torsten Schöneborn.

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Schöneborn, T. A guided tour of new results on “Trade execution in illiquid markets”. Blätter DGVFM 31, 79–90 (2010). https://doi.org/10.1007/s11857-010-0106-2

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  • DOI: https://doi.org/10.1007/s11857-010-0106-2

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