3 citations · 5 across the 3 of their papers we have counts for
3 papers
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…
Thompson Sampling with Information Relaxation Penalties
Seungki Min, Costis Maglaras, Ciamac C. Moallemi
We consider a finite-horizon multi-armed bandit (MAB) problem in a Bayesian setting, for which we propose an information relaxation sampling framework. With this framework, we defi…
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…