{"title":"Liquidation with nonlinear float-dependent price impact","authors":"Paolo Guasoni, Ali Sanjari","doi":"10.1002/hf2.10027","DOIUrl":null,"url":null,"abstract":"<p>This paper solves the infinite-horizon optimal liquidation problem in a market with float-dependent, nonlinear temporary price impact. The investor's value function and optimal strategy are identified as the unique classical solutions of nonlinear parabolic partial differential equations. Depending on the price impact parameters, liquidation may require finite or infinite time.</p>","PeriodicalId":100604,"journal":{"name":"High Frequency","volume":"2 2","pages":"85-94"},"PeriodicalIF":0.0000,"publicationDate":"2019-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1002/hf2.10027","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"High Frequency","FirstCategoryId":"1085","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1002/hf2.10027","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
This paper solves the infinite-horizon optimal liquidation problem in a market with float-dependent, nonlinear temporary price impact. The investor's value function and optimal strategy are identified as the unique classical solutions of nonlinear parabolic partial differential equations. Depending on the price impact parameters, liquidation may require finite or infinite time.
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