Dynamic Programming and Trade Execution

Li, Tianhui

Please use this identifier to cite or link to this item: http://arks.princeton.edu/ark:/88435/dsp01w0892b00k

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DC Field	Value	Language
dc.contributor.advisor	Carmona, Rene	en_US
dc.contributor.author	Li, Tianhui	en_US
dc.contributor.other	Operations Research and Financial Engineering Department	en_US
dc.date.accessioned	2013-05-21T13:33:31Z	-
dc.date.available	2013-05-21T13:33:31Z	-
dc.date.issued	2013	en_US
dc.identifier.uri	http://arks.princeton.edu/ark:/88435/dsp01w0892b00k	-
dc.description.abstract	We apply dynamic programming to two dierent trading problems. We introduce a novel trading model that captures the active-versus-passive order tradeo faced by a broker when benchmarked to VWAP (Volume Weighted Average Price). We are able to solve both the case where the stock quantity is discrete and continuous. The solution is in terms of a highly intuitive forward and backward boundary, for which we even obtain closed-form solutions in certain cases. The second problem is the dynamic hedging of an option under an Almgren-Chriss model of market impact. We are able to derive a highly intuitive dynamic solution.	en_US
dc.language.iso	en	en_US
dc.publisher	Princeton, NJ : Princeton University	en_US
dc.relation.isformatof	The Mudd Manuscript Library retains one bound copy of each dissertation. Search for these copies in the <a href=http://catalog.princeton.edu> library's main catalog </a>	en_US
dc.subject	dynamic control	en_US
dc.subject	microstructure	en_US
dc.subject	optimal execution	en_US
dc.subject	trading	en_US
dc.subject.classification	Mathematics	en_US
dc.title	Dynamic Programming and Trade Execution	en_US
dc.type	Academic dissertations (Ph.D.)	en_US
pu.projectgrantnumber	690-2143	en_US
Appears in Collections:	Operations Research and Financial Engineering

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