Mathematical Finance and Probability Seminars

An algorithmic approach to the optimal execution problem in finance

Tuesday, October 09, 2018 at 11:50am - 12:55pm

Arash Fahim - Florida State University

In Obizhaeva-Wang setting for the problem of liquidating a large position, we consider the case where liquidity is limited in a time-varying manner and the problem become a constrained convex programming problem. Since the problem does not have a closed form solution, we propose an efficient algorithm and test it via comparison to benchmark convex optimization methods.
Location   Hill 705