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Article

Periodic strategies in optimal execution with multiplicative price impact

Hernández-Hernández D., Pérez J., Moreno-Franco H. A.

In this work we study the optimal execution problem with multiplicative price impact in algorithm trading, when an agent holds an initial position of shares of a financial asset. The inter-selling-decision times are modelled by the arrival times of a Poisson process. The criterion to be optimised consists in maximising the expected net present value of gains of the agent, and it is proved that an optimal strategy has a barrier form, depending only on the number of shares left and the level of asset price.