Currency crises: introduction of spot speculators

Černý, Aleš

doi:10.1002/(sici)1099-1158(199901)4:1<75::aid-ijfe86>3.0.co;2-j

Cited by 6 publications

(1 citation statement)

References 10 publications

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“…In this context z(0) represents the quantity of the asset yet to be sold, y(0) is the prevailing price and w captures the expected revenue of an optimal sale of quantity z conditional on the current price being y. For more details we refer the reader to [3].…”

Section: Introductionmentioning

confidence: 99%

A Singular Differential Equation Stemming from an Optimal Control Problem in Financial Economics

2013

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We consider the ordinary differential equationwith a ∈ R, b ∈ R, c > 0 and the singular initial condition u(0) = 0, which in financial economics describes optimal disposal of an asset in a market with liquidity effects. It is shown in the paper that if a + b < 0 then no continuous solutions exist, whereas if a + b > 0 then there are infinitely many continuous solutions with indistinguishable asymptotics near 0. Moreover, it is proved that in the latter case there is precisely one solution u corresponding to the choice x 0 = ∞ which is such that 0 ≤ u(x) ≤ x for all x > 0, and that this solution is strictly increasing and concave.

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Section: Introductionmentioning

confidence: 99%

A Singular Differential Equation Stemming from an Optimal Control Problem in Financial Economics

2013

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The Deterministic Optimal Liquidation Problem

Brunovský

Halická

Mitas

2018

Lecture Notes in Economics and Mathematical Systems

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Optimal trade execution under endogenous pressure to liquidate: Theory and numerical solutions

Brunovský

Černý

Komadel

2018

European Journal of Operational Research

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We study optimal liquidation of a trading position (so-called block order or metaorder) in a market with a linear temporary price impact (Kyle, 1985). We endogenize the pressure to liquidate by introducing a downward drift in the unaffected asset price while simultaneously ruling out short sales. In this setting the liquidation time horizon becomes a stopping time determined endogenously, as part of the optimal strategy. We find that the optimal liquidation strategy is consistent with the squareroot law which states that the average price impact per share is proportional to the square root of the size of the meta-order (

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Currency crises: introduction of spot speculators

Cited by 6 publications

References 10 publications

A Singular Differential Equation Stemming from an Optimal Control Problem in Financial Economics

A Singular Differential Equation Stemming from an Optimal Control Problem in Financial Economics

The Deterministic Optimal Liquidation Problem

Optimal trade execution under endogenous pressure to liquidate: Theory and numerical solutions

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