Abstract
The execution of large transactions on a financial market will typically affect market prices in an adverse manner, thus leading to possibly significant execution costs. Minimizing these costs requires to trade-off projections of future market depth vs. market resilience and vs. the urgency to trade. We present an extension of the model proposed by Obizhaeva and Wang which allows for these key market parameters to change over time and we show how to produce a closed-form solution to the resulting optimal control problem. (This is joint work with Antje Fruth)
[PDF] Slides of the presentation.