Liquidation with self-exciting price impact

Cayé, Thomas; Muhle‐Karbe, Johannes

doi:10.1007/s11579-015-0148-2

Cited by 9 publications

(14 citation statements)

References 17 publications

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“…Remark 2. In eorem 2, we find that the optimal liquidation behaviour still has the same properties as the liquidation behaviour without decay in Caye and Muhle-Karbe [15] when the market has decayed.…”

mentioning

confidence: 73%

“…Caye and Muhle-Karbe [15] only discussed liquidation behaviours when the coefficient of temporary impact is linear. When there exists a decay factor in the market, the relevant literature has not been studied.…”

Section: Resultsmentioning

confidence: 99%

“…at is, the coefficient of temporary impact is multiplied by the exponential function. In fact, when ρ � 0, our model is reduced to the price model of Caye and Muhle-Karbe [15]. Theorem 2.…”

Section: Dt (10)mentioning

confidence: 98%

“…Based on Almgren-Chriss framework [2], a self-exciting price impact model is proposed by Caye and Muhle-Karbe [15]. ey considered that a large sell order creates persistent selling pressure which not only incurs price impact but also increases the execution costs.…”

Section: Introductionmentioning

confidence: 99%

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Optimal Liquidation Behaviour Analysis for Stochastic Linear and Nonlinear Systems of Self-Exciting Model with Decay

Luo

2021

Complexity

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When the market environment changes, we extend the self-exciting price impact model and further analysis of investors’ liquidation behaviour. It is assumed that the model is accompanied by an exponential decay factor when the temporary impact and its coefficient are linear and nonlinear. Using the optimal control method, we obtain that the optimal liquidation behaviours satisfy the second-order nonlinear ODEs with variable coefficients in the case of linear and nonlinear temporary impact. Next, we solve the ODEs and get the form of the investors’ optimal liquidation behaviour in four cases. Furthermore, we prove the decreasing properties of the optimal liquidation behaviour under the linear temporary impact. Through numerical simulation, we further explain the influence of the changed parameters ρ , a , b , x , and α on the investors’ liquidation strategy X t in twelve scenarios. Some interesting properties have been found.

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mentioning

confidence: 73%

Section: Resultsmentioning

confidence: 99%

Section: Dt (10)mentioning

confidence: 98%

Section: Introductionmentioning

confidence: 99%

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Optimal Liquidation Behaviour Analysis for Stochastic Linear and Nonlinear Systems of Self-Exciting Model with Decay

Luo

2021

Complexity

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“…Important contributions include He and Mamaysky [38], Schied and Schöneborn [44], Schied [43], Ankirchner et al [6], Guo and Zervos [37]. Recently, Cayé and Muhle-Karbe [20] studied an extension of the Almgren Chriss model with a self-exciting temporary price impact. All these models work in a (discretized) diffusion framework.…”

Section: Introductionmentioning

confidence: 99%

Shall I Sell or Shall I Wait? Optimal Liquidation Under Partial Information with Price Impact

Colaneri

Eksi

Frey³

et al. 2016

SSRN Journal

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Self-exciting price impact via negative resilience in stochastic order books

2022

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Most of the existing literature on optimal trade execution in limit order book models assumes that resilience is positive. But negative resilience also has a natural interpretation, as it models self-exciting behaviour of the price impact, where trading activities of the large investor stimulate other market participants to trade in the same direction. In the paper we discuss several new qualitative effects on optimal trade execution that arise when we allow resilience to take negative values. We do this in a framework where both market depth and resilience are stochastic processes.

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Liquidation with self-exciting price impact

Cited by 9 publications

References 17 publications

Optimal Liquidation Behaviour Analysis for Stochastic Linear and Nonlinear Systems of Self-Exciting Model with Decay

Optimal Liquidation Behaviour Analysis for Stochastic Linear and Nonlinear Systems of Self-Exciting Model with Decay

Shall I Sell or Shall I Wait? Optimal Liquidation Under Partial Information with Price Impact

Self-exciting price impact via negative resilience in stochastic order books

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