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International conference "Stochastic Optimization and Optimal Stopping"
September 28, 2012 12:10, Moscow, Steklov Mathematical Institute of RAS
 

Plenary talks


Optimal trade execution and price manipulation in order books with time-varying liquidity

Mikhail Urusov

Universität Ulm, Germany
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Abstract: In financial markets liquidity is not constant over time but exhibits strong seasonal patterns. We consider a limit order book model that allows for time-dependent, deterministic depth and resilience of the book and determine optimal portfolio liquidation strategies. In a first model variant we propose a trading dependent spread that increases when market orders are matched against the order book. In this model no price manipulation occurs and the optimal strategy is of the “wait region — buy region” type often encountered in singular control problems. In a second model we assume that there is no spread in the order book. Under this assumption we find that price manipulation can occur, depending on the model parameters. Even in the absence of classical price manipulation there may be transaction-triggered price manipulation. In specific cases, we can state optimal strategies in closed form.

Language: English

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