[CvGmt News] avviso seminario di finanza quantitativa prof. J.G.M. Gatheral (13.07.2012)
Valeria Giuliani
valeria.giuliani at sns.it
Thu Jul 5 09:52:10 CEST 2012
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 **/"/*
*//*
*/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./*//*
*//*
//
*//*
*//*
*//*
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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