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Edward W. Sun and Timm Kruse
''Economic Modeling for Optimal Trading of Financial Asset in Volatile Market''
( 2013, Vol. 33 No.3 )
We build an optimal trading model for submitting market orders in volatile market. We show some analytical properties of our computational solution. We conduct numerical simulations to investigate the model performance. In comparison with other two alternative models, the simulation results show that the performance of our model is generally superior, particularly when the market turns to be extremely bullish or bearish.
Keywords: Discrete optimization, Liquidity, Optimal execution, Geometric Brownian motion
Manuscript Received : Aug 29 2012 Manuscript Accepted : Jul 13 2013

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