P. Brunovský

most citedOptimal Trade Execution Under Endogenous Pressure to Liquidate: Theory and Numerical Solutions

7 citations · 7 across the 1 of their papers we have counts for

collaborators

2 papers

q-fin.PM2017★ 7 cited

Optimal Trade Execution Under Endogenous Pressure to Liquidate: Theory and Numerical Solutions

Pavol Brunovský, Aleš Černý, Ján Komadel

We study optimal liquidation of a trading position (so-called block order or meta-order) in a market with a linear temporary price impact (Kyle, 1985). We endogenize the pressure t…

math.OC2012

A Singular Differential Equation Stemming from an Optimal Control Problem in Financial Economics

Pavol Brunovský, Aleš Černý, Michael Winkler

We consider the ordinary differential equation $x^{2} u^{''} = a x u^{'} + b u - c (u^{'} - 1)^{2}, x \in (0, x_{0})$ , with $a \in R, b \in R$ , $c > 0$ and the singular initial condition $u (0) = 0$ …