November 13 at 4.40 pm - Research seminar by Mihail Zervos (LSE) «Optimal Execution with Multiplicative Price Impact»

Venue: Shabolovka st. 26, Room 3211

On Thursday, Novemeber 13 at 4.40 pm International College of Economics and Finance will hold the Research Seminar.
Speaker: Mihail Zervos (LSE) <Curriculum Vitae>
Theme: «Optimal Execution with Multiplicative Price Impact»
Venue: Shabolovka st. 26, Room 3211

Abstract: We consider the so-called ``optimal execution problem'' in algorithmic trading, which is the problem faced by an investor who has a large number of stock shares to sell over a given time horizon and whose actions have impact on the stock price. In particular, we develop and study a price model that presents the stochastic dynamics of a geometric Brownian motion and incorporates a log-linear effect of the investor's transactions. We then formulate the optimal execution problem as  a two-dimensional degenerate singular stochastic control problem. Using both analytic and probabilistic techniques,  we establish simple conditions for the market to allow for no price manipulation and we develop a detailed characterisation of the value function and the optimal strategy. In particular, we derive an explicit solution to the problem if the time horizon is infinite.

Everyone interested is welcome to attend!

See the web-page of the seminar < http://icef.hse.ru/en/announcements/136996130.html > 
Pass can be ordered by:
tel. +7 (495) 772-95-90 ext. 26090
e-mail: vzheleznov@hse.ru
contact: Slava Zheleznov