I re-post the announcement for your convenience. The seminar will be next Tuesday, but at 2:30 pm in Room 307b.
Professor A. Cerny from Cass will be visiting LUISS and on
Tuesday April 4, at 2:30 pm in Room 307b -- viale Romania
he will give the following seminar:
OPTIMAL TRADE EXECUTION UNDER ENDOGENOUS PRESSURE TO LIQUIDATE: THEORY
AND NUMERICAL SOLUTIONS
We study optimal liquidation of a large trading position in a market
with a temporary price impact. We endogenize the pressure to liquidate
and hence allow the time horizon of liquidation to be determined
endogenously, as part of the optimal strategy. The corresponding HJB
equation leads to a severely singular initial value problem whose
numerical solution we also study. In contrast to much of the existing
literature spreading the liquidation strategy over a longer horizon is
not necessarily beneficial to the trader.
Joint work with Pavol Brunovský and Ján Komadel, Comenius University
Bratislava
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