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q-fin.TR2016
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…
q-fin.TR2016★ 2 cited
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…