Optimal Execution with Transient Impact

21 Pages Posted: 2 Dec 2012 Last revised: 12 Jul 2014

Date Written: July 12, 2014


We consider the model of asset prices with transient impact as proposed in Gatheral (2008) and minimize the mean-variance functional of the execution cost. Using a non-classical result on calculus of variations, we obtain an integral equation characterizing the optimal strategy. The latter takes the form of a Fredholm integral equation of the second kind, we then provide a scheme to solve it numerically and verify indeed some no-arbitrage conditions.

Keywords: transient impact, optimal trading, JG model, mean-variance optimization

Suggested Citation

Dang, Ngoc-Minh, Optimal Execution with Transient Impact (July 12, 2014). Available at SSRN: https://ssrn.com/abstract=2183685 or http://dx.doi.org/10.2139/ssrn.2183685

Ngoc-Minh Dang (Contact Author)

HSBC ( email )

1 Queen's Road Central
Hong Kong
Hong Kong

JVN Institute, VNU-HCM ( email )

Linh Trung ward, Thu Duc district
Ho Chi Minh, 10001

HOME PAGE: http://sites.google.com/site/nmdang/

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