Ontology type: schema:ScholarlyArticle Open Access: True
2017-05-24
AUTHORSDirk Becherer, Todor Bilarev, Peter Frentrup
ABSTRACTWe study a multiplicative transient price impact model for an illiquid financial market, where trading causes price impact which is multiplicative in relation to the current price, transient over time with finite rate of resilience, and non-linear in the order size. We construct explicit solutions for the optimal control and the value function of singular optimal control problems to maximize expected discounted proceeds from liquidating a given asset position. A free boundary problem, describing the optimal control, is solved for two variants of the problem where admissible controls are monotone or of bounded variation. More... »
PAGES643-676
http://scigraph.springernature.com/pub.10.1007/s00245-017-9418-0
DOIhttp://dx.doi.org/10.1007/s00245-017-9418-0
DIMENSIONShttps://app.dimensions.ai/details/publication/pub.1085577804
JSON-LD is the canonical representation for SciGraph data.
TIP: You can open this SciGraph record using an external JSON-LD service: JSON-LD Playground Google SDTT
[
{
"@context": "https://springernature.github.io/scigraph/jsonld/sgcontext.json",
"about": [
{
"id": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/01",
"inDefinedTermSet": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/",
"name": "Mathematical Sciences",
"type": "DefinedTerm"
},
{
"id": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/0102",
"inDefinedTermSet": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/",
"name": "Applied Mathematics",
"type": "DefinedTerm"
}
],
"author": [
{
"affiliation": {
"alternateName": "Institute of Mathematics, Humboldt-Universit\u00e4t zu Berlin, Berlin, Germany",
"id": "http://www.grid.ac/institutes/grid.7468.d",
"name": [
"Institute of Mathematics, Humboldt-Universit\u00e4t zu Berlin, Berlin, Germany"
],
"type": "Organization"
},
"familyName": "Becherer",
"givenName": "Dirk",
"id": "sg:person.014552602164.82",
"sameAs": [
"https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.014552602164.82"
],
"type": "Person"
},
{
"affiliation": {
"alternateName": "Institute of Mathematics, Humboldt-Universit\u00e4t zu Berlin, Berlin, Germany",
"id": "http://www.grid.ac/institutes/grid.7468.d",
"name": [
"Institute of Mathematics, Humboldt-Universit\u00e4t zu Berlin, Berlin, Germany"
],
"type": "Organization"
},
"familyName": "Bilarev",
"givenName": "Todor",
"id": "sg:person.013105656521.52",
"sameAs": [
"https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.013105656521.52"
],
"type": "Person"
},
{
"affiliation": {
"alternateName": "Institute of Mathematics, Humboldt-Universit\u00e4t zu Berlin, Berlin, Germany",
"id": "http://www.grid.ac/institutes/grid.7468.d",
"name": [
"Institute of Mathematics, Humboldt-Universit\u00e4t zu Berlin, Berlin, Germany"
],
"type": "Organization"
},
"familyName": "Frentrup",
"givenName": "Peter",
"id": "sg:person.014500617521.99",
"sameAs": [
"https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.014500617521.99"
],
"type": "Person"
}
],
"citation": [
{
"id": "sg:pub.10.1007/s00780-006-0025-1",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1020877256",
"https://doi.org/10.1007/s00780-006-0025-1"
],
"type": "CreativeWork"
},
{
"id": "sg:pub.10.1007/s00780-017-0346-2",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1092444791",
"https://doi.org/10.1007/s00780-017-0346-2"
],
"type": "CreativeWork"
},
{
"id": "sg:pub.10.1007/s00780-016-0295-1",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1037630696",
"https://doi.org/10.1007/s00780-016-0295-1"
],
"type": "CreativeWork"
},
{
"id": "sg:pub.10.1007/s001860000048",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1021426905",
"https://doi.org/10.1007/s001860000048"
],
"type": "CreativeWork"
},
{
"id": "sg:pub.10.1007/s002459900094",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1015091149",
"https://doi.org/10.1007/s002459900094"
],
"type": "CreativeWork"
},
{
"id": "sg:pub.10.1007/s00780-013-0211-x",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1002547251",
"https://doi.org/10.1007/s00780-013-0211-x"
],
"type": "CreativeWork"
},
{
"id": "sg:pub.10.1007/s002080050220",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1018168503",
"https://doi.org/10.1007/s002080050220"
],
"type": "CreativeWork"
},
{
"id": "sg:pub.10.1007/978-3-662-05265-5",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1038043050",
"https://doi.org/10.1007/978-3-662-05265-5"
],
"type": "CreativeWork"
}
],
"datePublished": "2017-05-24",
"datePublishedReg": "2017-05-24",
"description": "We study a multiplicative transient price impact model for an illiquid financial market, where trading causes price impact which is multiplicative in relation to the current price, transient over time with finite rate of resilience, and non-linear in the order size. We construct explicit solutions for the optimal control and the value function of singular optimal control problems to maximize expected discounted proceeds from liquidating a given asset position. A free boundary problem, describing the optimal control, is solved for two variants of the problem where admissible controls are monotone or of bounded variation.",
"genre": "article",
"id": "sg:pub.10.1007/s00245-017-9418-0",
"isAccessibleForFree": true,
"isPartOf": [
{
"id": "sg:journal.1120592",
"issn": [
"0095-4616",
"1432-0606"
],
"name": "Applied Mathematics & Optimization",
"publisher": "Springer Nature",
"type": "Periodical"
},
{
"issueNumber": "3",
"type": "PublicationIssue"
},
{
"type": "PublicationVolume",
"volumeNumber": "78"
}
],
"keywords": [
"optimal control",
"singular optimal control problems",
"optimal control problem",
"illiquid financial market",
"free boundary problem",
"admissible controls",
"transient price impact",
"price impact model",
"control problem",
"explicit solution",
"boundary problem",
"value function",
"problem",
"financial markets",
"order size",
"finite rate",
"asset liquidation",
"price impact",
"impact model",
"solution",
"model",
"control",
"function",
"current prices",
"position",
"prices",
"size",
"asset position",
"relation",
"variation",
"time",
"trading",
"variants",
"liquidation",
"market",
"impact",
"proceeds",
"rate",
"resilience"
],
"name": "Optimal Asset Liquidation with Multiplicative Transient Price Impact",
"pagination": "643-676",
"productId": [
{
"name": "dimensions_id",
"type": "PropertyValue",
"value": [
"pub.1085577804"
]
},
{
"name": "doi",
"type": "PropertyValue",
"value": [
"10.1007/s00245-017-9418-0"
]
}
],
"sameAs": [
"https://doi.org/10.1007/s00245-017-9418-0",
"https://app.dimensions.ai/details/publication/pub.1085577804"
],
"sdDataset": "articles",
"sdDatePublished": "2022-08-04T17:05",
"sdLicense": "https://scigraph.springernature.com/explorer/license/",
"sdPublisher": {
"name": "Springer Nature - SN SciGraph project",
"type": "Organization"
},
"sdSource": "s3://com-springernature-scigraph/baseset/20220804/entities/gbq_results/article/article_753.jsonl",
"type": "ScholarlyArticle",
"url": "https://doi.org/10.1007/s00245-017-9418-0"
}
]Download the RDF metadata as: json-ld nt turtle xml License info
JSON-LD is a popular format for linked data which is fully compatible with JSON.
curl -H 'Accept: application/ld+json' 'https://scigraph.springernature.com/pub.10.1007/s00245-017-9418-0'
N-Triples is a line-based linked data format ideal for batch operations.
curl -H 'Accept: application/n-triples' 'https://scigraph.springernature.com/pub.10.1007/s00245-017-9418-0'
Turtle is a human-readable linked data format.
curl -H 'Accept: text/turtle' 'https://scigraph.springernature.com/pub.10.1007/s00245-017-9418-0'
RDF/XML is a standard XML format for linked data.
curl -H 'Accept: application/rdf+xml' 'https://scigraph.springernature.com/pub.10.1007/s00245-017-9418-0'
This table displays all metadata directly associated to this object as RDF triples.
142 TRIPLES
21 PREDICATES
71 URIs
55 LITERALS
6 BLANK NODES