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- W2796752830 abstract "The problem of optimal execution is to trade a fixed amount of a financial asset overa fixed time horizon in a way that minimizes costs from price impact and transactioncosts. Three types of price impact can be distinguished: Temporary, transient andpermanent price impact. While mathematical models of optimal execution undertemporary and permanent price impact can be analyzed with standard methodsfrom the calculus of variations, models featuring transient price impact are morecomplex.This thesis studies optimal execution under transient price impact for a single investorand for multiple investors. Assuming that trading incurs quadratic transactioncosts, existence and uniqueness of optimal execution strategies and Nashequilibria is established for a large class of transient price impact functions. Closed-formrepresentations of Nash equilibria are derived under the assumption that priceimpact decays exponentially. These representations are studied in detail to arriveat an economic evaluation of order anticipation strategies and predatory trading.A second focus of this thesis is the intimate connection between problems of optimalexecution and Fredholm integral equations. It is shown that, given informationabout certain characteristics of transient price impact, one can deduce qualitativefeatures of optimal execution strategies, such as nonnegativity and convexity, fromthe corresponding Fredholm integral equations without obtaining an explicit solution." @default.
- W2796752830 created "2018-04-24" @default.
- W2796752830 creator A5050553184 @default.
- W2796752830 date "2017-01-01" @default.
- W2796752830 modified "2023-09-23" @default.
- W2796752830 title "Single- and multiplayer trade execution strategies under transient price impact" @default.
- W2796752830 hasPublicationYear "2017" @default.
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