Optimal execution with non-linear transient market impact
研究了在传播者模型中，非线性瞬时市场冲击下大额交易的最优执行问题，发现最优方案常包含短暂密集买入和长期微弱卖出，甚至出现负期望成本，并提出了通过引入买卖价差成本或强制瞬时冲击函数凸性来稳健化解决方案。
We study the problem of the optimal execution of a large trade in the propagator model with non-linear transient impact. From brute force numerical optimization of the cost functional, we find that the optimal solution for a buy programme typically features a few short intense buying periods separated by long periods of weak selling. Indeed, in some cases, we find negative expected cost. We show that this undesirable characteristic of the non-linear transient impact model may be mitigated either by introducing a bid–ask spread cost or by imposing convexity of the instantaneous market impact function for large trading rates; the objective in each case is to robustify the solution in a parsimonious and natural way.