Event Details
An algorithmic approach to the optimal execution problem in finance
- Event Date: October 9, 2018
- Event End Date: October 9, 2018
- Event Start Time: 11:50 AM
- Event End Time: 12:55 PM
- Event Location: Hill 705
- Event Type: Mathematical Finance and Probability Seminars
- Extra Info: 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.