Liquidation under dynamic price impact
In order to liquidate a large position in an asset, investors face a tradeoff between price volatility and market impact. The classical approach to this problem is to model volatility via a Brownian motion, and separate price impact into its permanent and temporary components. In this thesis, we con...
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| Language: | en_US |
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2016
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| Online Access: | https://hdl.handle.net/2144/14553 |