6 citations · 19 across the 13 of their papers we have counts for
4 papers · 1 filter
Optimal Liquidation Problems in a Randomly-Terminated Horizon
Qing-Qing Yang, Wai-Ki Ching, Jia-Wen Gu +1
In this paper, we study optimal liquidation problems in a randomly-terminated horizon. We consider the liquidation of a large single-asset portfolio with the aim of minimizing a co…
Generalized Optimal Liquidation Problems Across Multiple Trading Venues
Qing-Qing Yang, Wai-Ki Ching, Jia-Wen Gu +1
In this paper, we generalize the Almgren-Chriss's market impact model to a more realistic and flexible framework and employ it to derive and analyze some aspects of optimal liquida…
Trading Strategy with Stochastic Volatility in a Limit Order Book Market
Wai-Ki Ching, Jia-Wen Gu, Tak-Kuen Siu +1
In this paper, we employ the Heston stochastic volatility model to describe the stock's volatility and apply the model to derive and analyze the optimal trading strategies for deal…
On Optimal Pricing Model for Multiple Dealers in a Competitive Market
Wai-Ki Ching, Jia-Wen Gu, Qing-Qing Yang +1
In this paper, the optimal pricing strategy in Avellande-Stoikov's for a monopolistic dealer is extended to a general situation where multiple dealers are present in a competitive…