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- W2376677690 abstract "Considering that the trade's price impact function involves the trade size and the liquidity discount of the security market at that time,and some security markets present the L-shape of intraday liquidity pattern,the Lagrange equation of motion and the method of Frobenius were adopted and the optimal intraday liquidation strategy was deduced with continuous trading.Results show that the optimal liquidating rate is positively relative with the investor's risk-aversion and the assets' volatility rate,and negatively with the coefficient of the temporary price impact of trades and the coefficient of the liquidity discount of the security market.And the investor should slow down liquidating to avoid the low-liquidity at the start of market exchange,then gradually quicken it and liquidate the assets the fastest at noon.If the investor holds less position near the end of market exchange,he or she should slow down liquidating to decrease the temporary price impact of trades,otherwise,quicken it." @default.
- W2376677690 created "2016-06-24" @default.
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- W2376677690 date "2006-01-01" @default.
- W2376677690 modified "2023-09-29" @default.
- W2376677690 title "Study of institutional investors'optimal liquidation strategy" @default.
- W2376677690 hasPublicationYear "2006" @default.
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