Optimal execution with uncertain order fills in Almgren-Chriss framework
主 题: Optimal execution with uncertain order fills in Almgren-Chriss framework
报告人: Prof.Tai-Ho Wang (Baruch College, CUNY)
时 间: 2014-11-03 14:00-15:00
地 点: 北京大学理科一号楼1560教室（主持人：程雪）
In this talk we present an extension of the classical price impact model of Almgren and Chriss to incorporate the uncertainty of order fills. The extended model can be recast as alternatives to uncertain impact models, stochastic liquidity models, and an approximation of models for liquidation with limit orders. Optimal strategies are determined by maximizing the expected final P&L and various P&L-risk tradeoffs including utility maximization. Closed form expressions for optimal strategies are obtained in linear cases. The results suggest a type of adaptive volume weighted average price (VWAP) and adaptive Almgren-Chriss strategies. VWAP and the classical Almgren-Chriss strategies are recovered as limiting cases.
About the speaker (报告人简介): Tai-Ho Wang has been on the faculty of the Baruch MFE Program and the mathematics department at Baruch College, CUNY since 2008, teaching graduate courses on stochastic processes and optimization methods, as well as pre-program courses in probability. His research spans fields as varied as quantitative finance, probability and statistics, and Riemannian geometry. He holds a PhD in applied mathematics from National Chiao Tung University.