​[Lecture, Nov 05] Optimal trading under the mean-quadratic criterion
 
time: 2018-11-02

Title: Optimal Trading under the Mean-Quadratic Criterion

Speaker: Yiqiang Q. Zhao, School of Mathematics and Statistics, Carleton University

Time: 3:00 pm, November 5, 2018

Venue: Room 201, Building 22, Wushan Campus


Introduction to the Speaker:

Dr. Zhao Yiqiang is currently a full professor and the Associate Dean (Research and Graduate Studies) of Faculty of Science at Carleton University, Canada. Professor Zhao received his Ph.D. degree from Department of Mathematics and Statistics at the University of Saskatchewan in 1990. After a two-year appointment as a Postdoctoral Fellow sponsored by the Canadian Institute for Telecommunications Research (CITR) at Queen's University, he worked at the Department of Mathematics and Statistics of the University of Winnipeg first as an Assistant Professor then an Associate Professor from 1992-2000. In 2000, he joined Carleton University as an Associate Professor in the School of Mathematics and Statistics and became a Full Professor in 2003.

Dr. Zhao's research interests are in applied probability and stochastic processes, with particular emphasis on computer and telecommunication network applications. He has published near 100 research papers in internationally-refereed journals. He has delivered over 60 presentations at conferences and has been invited more than 50 times to give talks at seminars/colloquia or workshops. He is a member on the editorial board of five international journals including OR Letters, Queueing Systems and Stochastic Models, and a reviewer of a number of academic journals.


Abstract:

In this talk, we discuss a discrete-time model where theunderlying asset price is subject to stochastic volatility andliquidity for optimal trade execution. This model is an extension ofAlmgren and Chriss' model. Instead of the mean-variance criterion, weconsider the mean-quadratic criterion for choosing the optimalstrategy through applications of Markov decision processes. We carryout a numerical analysis by Monte Carlo simulation and providedetailed comparison results under various risk aversion criteria.Finally, we change the lever range for the risk aversion and comparethe performance between the mean-quadratic, the mean-variance, and theexpected exponential cost.

This talk is based on joint research by Xiaotong Wu and Gennady Shaikhed.