Section: New Results

Liquidity risk

Participants : Aurélien Alfonsi, Pierre Blanc.

A. Alfonsi and P. Blanc are working on the optimal execution problem when many large traders who modify the market prices. In a previous study, they have developed a price impact model that takes into account an exogeneous flow of market orders, in which the optimal execution strategy is known explicitly. This year,they have worked on the practical implementation of this model. Namely, they have proposed an estimation procedure to estimate the model parameters (decay kernel of the price impact and Hawkes kernel for the self excitation of the order flow). They have run this estimation on market data and backtested the optimal execution strategy.