学术报告报告题目：Optimal Liquidation and Acquisition with Transitory Price Impact
报 告 人：徐靖 助理教授(中国人民大学财政金融学院)
报告时间：2018年11月20（星期二）上午10:00-10:40
报告地点：4号楼224室
邀 请 人：陈映珊 博士
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数学学院
2018年11月19日
报告摘要：
Financial institutions often need to liquidate or acquire a large position in an illiquid market by a certain date. We propose a unified dynamic model of optimal liquidation and optimal acquisition with transitory price impact that can be a general function of trading speed. We find that both the optimal liquidation speed and the optimal acquisition speed are U shaped functions of time.
Moreover, it can be optimal to trade against the intended target when market condition is favorable and the time to horizon is long. We also show naive trading strategies such as trading at a constant speed can be costly.