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Article Dans Une Revue Mathematical Finance Année : 2015

General Intensity Shapes in Optimal Liquidation

Olivier Guéant

Résumé

We study the optimal liquidation problem using limit orders. If the seminal literature on optimal liquidation, rooted to Almgren-Chriss models, tackles the optimal liquidation problem using a trade-off between market impact and price risk, it only answers the general question of the liquidation rhythm. The very question of the actual way to proceed is indeed rarely dealt with since most classical models use market orders only. Our model, that incorporates both price risk and non-execution risk, answers this question using optimal posting of limit orders. The very general framework we propose regarding the shape of the intensity generalizes both the risk-neutral model presented of Bayraktar and Ludkovski and the model developed in Guéant, Lehalle and Fernandez-Tapia, restricted to exponential intensity.

Dates et versions

hal-01393116 , version 1 (06-11-2016)

Identifiants

Citer

Olivier Guéant. General Intensity Shapes in Optimal Liquidation. Mathematical Finance, 2015, 25 (3), pp.457-495. ⟨10.1111/mafi.12052⟩. ⟨hal-01393116⟩
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