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    Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/68597

    Title: On Jump Risk of Liquidation in Limit Order Book
    Authors: 何威霆;Ho,Wei-ting
    Contributors: 統計研究所
    Keywords: 隨機最佳化控制;限價單;漢密爾頓-雅可比-貝爾曼方程;跳躍擴散模型;stochastic optimal control;limit order book;Hamilton-Jacobi-Bellman equation (HJB);jump diffusion
    Date: 2015-07-29
    Issue Date: 2015-09-23 12:53:30 (UTC+8)
    Publisher: 國立中央大學
    Abstract: 本研究探討如何利用限價單在其市場中尋求最佳的交易策略。許多文
    下,投資人期末總資產的變異風險。;We deal with the optimized problem of portfolio liquidation with submitting limit orders into limit order book in this paper. Many other papers focus on minimizing transaction costs arising from permanent and temporary market impact, while we focus on maximizing the expected exponential utility of our P&L profile at a terminal time T. On the other hand, we also consider the price risk of jumps, so jump diffusion model is introduced. As an investor, the optimal trading curve is one thing that we may concern, thus we are now facing a stochastic optimization problem. To achieve our goal, a Hamilton-Jacobi-Bellman equation is solved with a closed-form solution in our result. We also do some numerical examples to interpret how worthy of our work has made. Indeed, we successfully deduce the variation of investor’s final asset under our framework.
    Appears in Collections:[統計研究所] 博碩士論文

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