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文章基本信息

  • 标题:Economic Modeling for Optimal Trading of Financial Asset in Volatile Market
  • 本地全文:下载
  • 作者:Edward W. Sun ; Timm Kruse
  • 期刊名称:Economics Bulletin
  • 电子版ISSN:1545-2921
  • 出版年度:2013
  • 卷号:33
  • 期号:3
  • 页码:1788-1795
  • 出版社:Economics Bulletin
  • 摘要:We build an optimal trading model for submitting market orders in volatile market. We show some analytical properties of our computational solution. We conduct numerical simulations to investigate the model performance. In comparison with other two alternative models, the simulation results show that the performance of our model is generally superior, particularly when the market turns to be extremely bullish or bearish.
  • 关键词:Discrete optimization; Liquidity; Optimal execution; Geometric Brownian motion
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