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dc.contributor.author | Ohnishi, Masamitsu | en |
dc.contributor.author | Shimoshimizu, Makoto | en |
dc.contributor.alternative | 大西, 匡光 | ja |
dc.contributor.alternative | 下清水, 慎 | ja |
dc.contributor.transcription | オオニシ, マサミツ | - |
dc.contributor.transcription | シモシミズ, マコト | - |
dc.date.accessioned | 2020-06-19T04:32:05Z | - |
dc.date.available | 2020-06-19T04:32:05Z | - |
dc.date.issued | 2019-04 | - |
dc.identifier.issn | 1880-2818 | - |
dc.identifier.uri | http://hdl.handle.net/2433/251978 | - |
dc.description.abstract | This paper examines the execution problem of large traders with generalized price impact model. Constructing a model in a discrete-time setting, we solve this problem by applying the backward induction method of the dynamic programming. In this model, we formulate the expected utility maximization problem of multiple large traders as a Markov game and derive an equilibrium execution strategy at a Markov perfect equilibrium. This model enables us to investigate how the execution strategies and trade performances of these large traders are affected by the existence of other traders. Moreover, we find that these equilibrium execution strategies become deterministic when the total execution volumes of non large traders are deterministic. We also show, by some numerical examples, the comparative statics results with respect to several problem parameters. | en |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | - |
dc.publisher | 京都大学数理解析研究所 | ja |
dc.publisher.alternative | Research Institute for Mathematical Sciences, Kyoto University | en |
dc.subject.ndc | 410 | - |
dc.title | Equilibrium execution strategies with generalized price impacts (Financial Modeling and Analysis) | en |
dc.type | departmental bulletin paper | - |
dc.type.niitype | Departmental Bulletin Paper | - |
dc.identifier.ncid | AN00061013 | - |
dc.identifier.jtitle | 数理解析研究所講究録 | ja |
dc.identifier.volume | 2111 | - |
dc.identifier.spage | 84 | - |
dc.identifier.epage | 106 | - |
dc.textversion | publisher | - |
dc.sortkey | 06 | - |
dc.address | Graduate School of Economics, Osaka University | en |
dc.address | Center for Mathematical Modeling and Data Science, Osaka University | en |
dc.address.alternative | 大阪大学 | ja |
dc.address.alternative | 大阪大学 | ja |
dcterms.accessRights | open access | - |
dc.identifier.jtitle-alternative | RIMS Kokyuroku | en |
出現コレクション: | 2111 ファイナンスの数理解析とその応用 |
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