Trading against disorderly liquidation of a large position under asymmetric information and market impact
| العنوان: | Trading against disorderly liquidation of a large position under asymmetric information and market impact |
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| المؤلفون: | Caroline Hillairet, Cody B. Hyndman, Ying Jiao, Renjie Wang |
| المصدر: | ESAIM: Proceedings and Surveys, Vol 56, Pp 42-71 (2017) |
| بيانات النشر: | EDP Sciences, 2017. |
| سنة النشر: | 2017 |
| مصطلحات موضوعية: | Capital market line, Financial economics, Monetary economics, computer.software_genre, 01 natural sciences, Hedge fund, FOS: Economics and business, 010104 statistics & probability, Information asymmetry, Portfolio Management (q-fin.PM), Order (exchange), 91G10, 93E20, 93E11, 91G60, 60G35, 0502 economics and business, QA1-939, FOS: Mathematics, Market price, Asset (economics), 0101 mathematics, Algorithmic trading, Quantitative Finance - Portfolio Management, T57-57.97, 050208 finance, Quantitative Finance - Trading and Market Microstructure, Applied mathematics. Quantitative methods, business.industry, 05 social sciences, Probability (math.PR), Mathematical Finance (q-fin.MF), Trading and Market Microstructure (q-fin.TR), Quantitative Finance - Mathematical Finance, Position (finance), Business, Portfolio optimization, Market impact, computer, Mathematics - Probability, Mathematics |
| الوصف: | We consider trading against a hedge fund or large trader that must liquidate a large position in a risky asset if the market price of the asset crosses a certain threshold. Liquidation occurs in a disorderly manner and negatively impacts the market price of the asset. We consider the perspective of small investors whose trades do not induce market impact and who possess different levels of information about the liquidation trigger mechanism and the market impact. We classify these market participants into three types: fully informed, partially informed and uninformed investors. We consider the portfolio optimization problems and compare the optimal trading and wealth processes for the three classes of investors theoretically and by numerical illustrations. Comment: 33 pages, 8 figures |
| تدمد: | 2267-3059 |
| DOI: | 10.1051/proc/201756042 |
| URL الوصول: | https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0935c668d764832b78303b636a91b5fd https://doi.org/10.1051/proc/201756042 |
| Rights: | OPEN |
| رقم الانضمام: | edsair.doi.dedup.....0935c668d764832b78303b636a91b5fd |
| قاعدة البيانات: | OpenAIRE |
| تدمد: | 22673059 |
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| DOI: | 10.1051/proc/201756042 |