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Assessing Sale Strategies in Online Markets Using Matched Listings
Matched Listings Sale Strategies
2015/7/17
We use data from eBay to identify hundreds of thousands of instances
in which retailers posted otherwise identical product listings with
targeted variation in pricing and auction design.
Commodity price risk management using option strategies
commodity market hedging strategies vanilla options
2015/5/4
In the world of increasing price volatility, it is more important than ever to understand how to manage the price risk. The paper deals with the price risk management issues associated with commoditie...
Robust Strategies for Optimal Order Execution in the Almgren-Chriss Framework
market impact optimal order execution Almgren-Chriss model robustness model uncertainty
2012/4/28
Assuming geometric Brownian motion as unaffected price process $S^0$, Gatheral & Schied (2011) derived a strategy for optimal order execution that reacts in a sensible manner on market changes but can...
Drift dependence of optimal order execution strategies under transient price impact
Drift dependence of optimal order execution strategies transient price impact Trading and Market Microstructure
2012/4/28
We give a complete solution to the problem of minimizing the expected liquidity costs in presence of a general drift when the underlying market impact model has linear transient price impact with expo...
Efficient Computation of Optimal Trading Strategies
Efficient Computation Optimal Trading Strategies
2010/10/21
Given the return series for a set of instruments, a \emph{trading strategy} is a switching function that transfers wealth from one instrument to another at specified times. We present efficient algor...
Models of self-financing hedging strategies in illiquid markets: symmetry reductions and exact solutions
nonlinear PDEs illiquid markets option pricing invariant reductions
2010/10/21
We study the general model of self-financing trading strategies in illiquid markets introduced by Schoenbucher and Wilmott, 2000. A hedging strategy in the framework of this model satisfies a nonlinea...
A simple trading model based on pair pattern strategy space with holding periods is proposed. Power-law behaviors are observed for the return variance $\sigma^2$, the price impact $H$ and the predict...