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dc.contributor.authorde Jong, Klaas
dc.date.accessioned2015-09-01T22:01:09Z
dc.date.available2015-09-01T22:01:09Z
dc.date.issued2015
dc.identifier.citationde Jong, Klaas. Transient linear price impact. A second generation of market impact models.. Master thesis, University of Oslo, 2015
dc.identifier.urihttp://hdl.handle.net/10852/45333
dc.description.abstractIn classic mathematical finance, a trader's actions have no direct influence on the asset price. For small trades this is a reasonable assumption, but large trades fire back at the underlying price. We consider a transient linear price impact model in discrete time, and find a deterministic and unique optimal trading strategy when the decay of price impact is given as a positive-definite quadratic form. Examples of the associated so-called resilience functions show a new type of price manipulation, which will be called transaction-triggered price manipulation. To exclude this kind of price manipulation, convexity of the resilience function appears to be both necessary and sufficient. Since nonconstant, convex functions generate positive definite quadratic forms, standard price manipulation is excluded in this case as well. The effects of risk aversion can be handled similarly to the way the standard optimal order execution problem is solved. The discrete-time model can be extended to continuous time, and we find some similar results. It appears that optimal strategies can be characterized as measure-valued solutions of a generalized Fredholm integral equation of the first kind. However, to guarantee the existence of an optimal trading strategy, positive definiteness does not hold, and we need convexity of the decay kernel. As in the discrete-time case, this excludes the existence of transaction-triggered price manipulation strategies.eng
dc.language.isoeng
dc.subjectmarket
dc.subjectimpact
dc.subjectmodel
dc.subjecttransient
dc.subjectprice
dc.subjectimpact
dc.subjectoptimal
dc.subjectorder
dc.subjectexecution
dc.subjectpositive
dc.subjectsemi
dc.subjectdefinite
dc.subjectquadratic
dc.subjectform
dc.subjectprice
dc.subjectmanipulation
dc.subjectLagrange
dc.subjectmultiplier
dc.subjectBochner
dc.subjects
dc.subjecttheorem
dc.subjectFourier
dc.subjecttransform
dc.subjectconvex
dc.subjectfunction
dc.subjectLebesgue
dc.subjectStieltjes
dc.subjectmeasure
dc.subjectLebesgue
dc.subjectStieltjes
dc.subjectintegral
dc.subjectintegration
dc.subjectby
dc.subjectparts
dc.subjectfor
dc.subjectLebesgue
dc.subjectStieltjes
dc.subjectintegrals
dc.subjectdominated
dc.subjectconvergence
dc.subjectcontinuity
dc.subjecttheorem
dc.subjectportmanteau
dc.subjecttheorem
dc.subjectFubini
dc.subjectTonelli
dc.subjecttheorem
dc.subjecttransaction
dc.subjecttriggered
dc.subjectprice
dc.subjectmanipulation
dc.subjectrisk
dc.subjectaversion
dc.subjectbilinear
dc.subjectform
dc.subjectpolarization
dc.subjectFredholm
dc.subjectintegral
dc.subjectequation
dc.subjectBorel
dc.subjectprobability
dc.subjectmeasure
dc.subjectcompact
dc.subjectmetric
dc.subjectspace
dc.subjectProhorov
dc.subjects
dc.subjecttheorem
dc.titleTransient linear price impact. A second generation of market impact models.eng
dc.typeMaster thesis
dc.date.updated2015-09-01T22:01:09Z
dc.creator.authorde Jong, Klaas
dc.identifier.urnURN:NBN:no-49536
dc.type.documentMasteroppgave
dc.identifier.fulltextFulltext https://www.duo.uio.no/bitstream/handle/10852/45333/1/MasterThesis_KlaasdeJong.pdf


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