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- W2366615682 abstract "Considering that the trade's price impact function includes the trade size and the liquidity discount of security market at that time,under the assumption that the risky asset's price follows the arithmetic Brown motion,and based on the none-shape,L shape or U shape of intraday liquidity patterns,this paper introduced the Lagrange equation of motion and the method of Frobenius,and found out the optimal intraday liquidation strategies of large security positions.The results show that the optimal liquidation rate is positively relative with the investors' risk tolerance and the assets' volatility rate,and negatively with the coefficients of the temporary impact and the intraday liquidity discount.The optimal liquidation patterns of assets in the situations above are L shape,S shape in reverse or J shape upside down,and J shape upside down or S shape in reverse respectively." @default.
- W2366615682 created "2016-06-24" @default.
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- W2366615682 date "2006-01-01" @default.
- W2366615682 modified "2023-09-26" @default.
- W2366615682 title "The Optimal Liquidation Strategies on Intraday Liquidity Patterns" @default.
- W2366615682 hasPublicationYear "2006" @default.
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