2 papers
q-fin.TR2022
Risk-Sensitive Optimal Execution via a Conditional Value-at-Risk Objective
Seungki Min, Ciamac C. Moallemi, Costis Maglaras
We consider a liquidation problem in which a risk-averse trader tries to liquidate a fixed quantity of an asset in the presence of market impact and random price fluctuations. The…
q-fin.TR2018
Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and their Effect on Portfolio Execution
Seungki Min, Costis Maglaras, Ciamac C. Moallemi
The composition of natural liquidity has been changing over time. An analysis of intraday volumes for the S&P500 constituent stocks illustrates that (i) volume surprises, i.e., dev…