[CvGmt News] avviso seminario di finanza quantitativa prof. J.G.M. Gatheral (13.07.2012)

[Valeria Giuliani]

Seminari di finanza quantitativa


    Venerdì 13 luglio 2012

ore 11.30

_Scuola Normale Superiore_

Pisa

(Aula Bianchi)

*__*

*/James G.M. Gatheral/*

/Baruch College, The City University of New York ///

Terrà un seminario dal titolo:

*/"/**Optimal Order Execution **/"/*

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*/Abstract:/*

/We review various models of market impact. We use variational calculus 
to derive optimal execution strategies, noting that in many conventional 
models, static strategies are dynamically optimal. We then present a 
model in which the optimal strategy does depend on the stock price and 
derive an explicit closed-form solution for this strategy by solving the 
HJB equation. We discuss price manipulation, indicating modeling choices 
for which this is unlikely to be a problem.  We present empirical 
evidence and some heuristic arguments justifying  the well-known 
square-root formula for market impact.  Assuming price dynamics that are 
consistent with the square-root formula, we suggest likely properties of 
optimal execution strategies./*//*

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Tutti gli interessati sono invitati a partecipare.

Classe di Scienze

-- 
Valeria Giuliani
Scuola Normale Superiore
Servizi Supporto attivita Didattiche
tel.050509260
Fax.050509045
v.giuliani at sns.it
adi.sd at sns.it

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