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Generalized Optimal Liquidation Problems Across Multiple Trading Venues

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  • Qing-Qing Yang
  • Wai-Ki Ching
  • Jia-Wen Gu
  • Tak-Kuen Siu

Abstract

In this paper, we generalize the Almgren-Chriss's market impact model to a more realistic and flexible framework and employ it to derive and analyze some aspects of optimal liquidation problem in a security market. We illustrate how a trader's liquidation strategy alters when multiple venues and extra information are brought into the security market and detected by the trader. This study gives some new insights into the relationship between liquidation strategy and market liquidity, and provides a multi-scale approach to the optimal liquidation problem with randomly varying volatility.

Suggested Citation

  • Qing-Qing Yang & Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu, 2016. "Generalized Optimal Liquidation Problems Across Multiple Trading Venues," Papers 1607.04553, arXiv.org, revised Aug 2017.
    • Handle: RePEc:arx:papers:1607.04553
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    References listed on IDEAS

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