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Mathematical Finance and Probability Seminars

An algorithmic approach to the optimal execution problem in finance

Arash Fahim - Florida State University

Location:  Hill 705
Date & time: Tuesday, 09 October 2018 at 11:50AM - 12:55PM

Abstract:  In Obizhaeva-Wang setting for the problem of liquidating a large position, we consider the case where liquidity is limited in a time-varying manner and the problem become a constrained convex programming problem. Since the problem does not have a closed form solution, we propose an efficient algorithm and test it via comparison to benchmark convex optimization methods.


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