• A
  • A
  • A
  • АБВ
  • АБВ
  • АБВ
  • A
  • A
  • A
  • A
  • A
Обычная версия сайта
  • RU
  • EN
  • HSE University
  • Publications
  • Book chapter
  • Mathematical Models of Price Impact and Optimal Portfolio Management in Illiquid Markets
  • RU
  • EN
Расширенный поиск
Высшая школа экономики
Национальный исследовательский университет
Priority areas
  • business informatics
  • economics
  • engineering science
  • humanitarian
  • IT and mathematics
  • law
  • management
  • mathematics
  • sociology
  • state and public administration
by year
  • 2027
  • 2026
  • 2025
  • 2024
  • 2023
  • 2022
  • 2021
  • 2020
  • 2019
  • 2018
  • 2017
  • 2016
  • 2015
  • 2014
  • 2013
  • 2012
  • 2011
  • 2010
  • 2009
  • 2008
  • 2007
  • 2006
  • 2005
  • 2004
  • 2003
  • 2002
  • 2001
  • 2000
  • 1999
  • 1998
  • 1997
  • 1996
  • 1995
  • 1994
  • 1993
  • 1992
  • 1991
  • 1990
  • 1989
  • 1988
  • 1987
  • 1986
  • 1985
  • 1984
  • 1983
  • 1982
  • 1981
  • 1980
  • 1979
  • 1978
  • 1977
  • 1976
  • 1975
  • 1974
  • 1973
  • 1972
  • 1971
  • 1970
  • 1969
  • 1968
  • 1967
  • 1966
  • 1965
  • 1964
  • 1963
  • 1958
  • More
Subject
News
June 3, 2026
Pocket Money, Personal Interest, and Family Practices: What Shapes Students Economic Literacy?
University students' economic literacy depends not only on their field of study but also on their interest in economics, the learning environment, and family financial practices. For example, students who received pocket money irregularly tend to perform better on economic literacy tests than their peers who received financial support on a regular basis. These findings come from a study conducted by HSE University involving more than 1,100 students from five Russian universities. The findings have been published in Cakrawala Pendidikan.
June 3, 2026
Creative Work as a Remedy for Burnout
The creative, supportive atmosphere and innovative methods at the Centre for Sociocultural Research make it appealing to early-career scholars. Over years of working at HSE University, they grow into researchers and lecturers recognised both in Russia and abroad. Chief Research Fellow Zarina Lepshokova and Leading Research Fellow Ekaterina Bushina spoke about their journey at the centre and at HSE, their research, and the role of mentors in their academic success.
June 2, 2026
HSE Study Reveals Imbalance in the Generative AI Market
Researchers at HSE University analysed how effectively the global generative artificial intelligence market converts investment into real revenue, concluding that AI is currently developing faster than it is paying off. The results have been published in the journal Foresight and STI Governance.

 

Have you spotted a typo?
Highlight it, click Ctrl+Enter and send us a message. Thank you for your help!

Publications
  • Books
  • Articles
  • Chapters of books
  • Working papers
  • Report a publication
  • Research at HSE

?

Mathematical Models of Price Impact and Optimal Portfolio Management in Illiquid Markets

.
Andreev N. A.

The problem of optimal portfolio liquidation under transaction costs has been widely researched recently, thus producing several approaches to problem formulation and solving. Obtained results can be used for decision making during portfolio selection or automatic trading at high-frequency electronic markets. This work gives a review of modern studies in this field, comparing models and tracking their evolution. The paper also presents results of applying the most recent findings in this field to real MICEX shares high-frequency data and gives an interpretation of the results.

Language: English
Full text
Text on another site
Keywords: влияние на ценуportfolio liquidationликвидация портфелярыночная ликвидностьoptimal portfolio selectionprice impactmarket liquidityоптимальное управление портфелем
Publication based on the results of:
Financial Market Microstructure Study (2011)

In book

Financial Econometrics and Empirical Market Microstructure
NY: Springer, 2015.
Similar publications
Measuring Market Liquidity and Liquidity Mismatches Across Sectors
Akhmetov A., Burova A., Makhankova N. et al., , in: Systemic Financial Risk: An Emerging Market Perspective.: Palgrave Macmillan, 2024. P. 131–194.
Added: May 31, 2024
Sequential Entry in Illiquid Markets
Fardeau V., Journal of Financial Markets 2023 Vol. 64 Article 100818
I study the sequential entry of intermediaries into an illiquid market. As intermediaries trade with rational counterparts, market depth affects and is affected by the possibility of entry. This feedback loop between entry and depth gives incumbent intermediaries more incentives to deter entrants, creating endogenous barriers to entry. Further, whether entry occurs or not in ...
Added: November 30, 2022
Sequential Entry in Illiquid Markets
Fardeau V., / NRU HSE. Series WP9 "Серия WP9 «Исследования по экономике и финансам»". 2022. No. WP9/2022/03.
I study the sequential entry of intermediaries into an illiquid market. As intermediaries trade with rational counterparts, market depth affects and is affected by the possibility of entry. This feedback loop between entry and depth gives incumbent intermediaries more incentives to deter entrants, creating endogenous barriers to entry. Further, whether entry occurs or not in ...
Added: June 17, 2022
Strategic Trading around Anticipated Supply/Demand Shocks
Fardeau V., / NRU HSE. Series WP9 "Серия WP9 «Исследования по экономике и финансам»". 2022. No. WP9/2022/02.
I study the price/quantity effects of anticipated supply or demand shocks in a model of strategic trading, where imperfectly competitive traders share risk with price-takers. When there are at least two traders, anticipated shocks lead to the V-shaped pattern observed empirically: prices drift away from fundamentals before the shock, and slowly revert afterwards. How traders ...
Added: June 17, 2022
Arbitrage with Financial Constraints and Market Power
Fardeau V., / NRU HSE. Series WP9 "Серия WP9 «Исследования по экономике и финансам»". 2022. No. WP9/2022/01.
I study how (VaR-based) financial constraints affect liquidity and welfare under different structures of the arbitrage industry. When capital is spread across numerous competitive arbitrageurs, financial constraints may impair their ability to provide liquidity, lowering other investors’ welfare. However, when capital is concentrated among arbitrageurs with market power, introducing constraints can make everyone better off ...
Added: June 17, 2022
Кривые доходностей на низколиквидных рынках облигаций: особенности оценки
Makushkin M., Lapshin V. A., Экономический журнал Высшей школы экономики 2021 Т. 25 № 2 С. 177–195
There are many different models for estimation of a yield curve from bond market quotes. These models are well suited for developed markets with high liquidity level and market data readily available. However, this is not always the case for developing markets that are characterized by infrequent trading, heterogeneous liquidity and frequent missing data. In this ...
Added: June 23, 2021
On the Convexity of the Instantaneous Impact Cost Function
N. A. Andreev, Journal of Mathematical Sciences 2020 Vol. 248 No. 1 P. 116–122
This paper studies the form of the instantaneous impact cost function in a financial market with transaction costs via an axiomatic approach. We show that several kinds of convexity of the cost function are equivalent to the corresponding properties of the price impact functions. The results clarify the implicit assumptions made when selecting a particular ...
Added: July 25, 2020
Управление портфелем финансовых инструментов с учетом модельной ошибки и ликвидности рынка
Andreev N. A., В кн.: "Тихоновские чтения": научная конференция: тезисы докладов: посвящается памяти академика Андрея Николаевича Тихонова: 29 октября-1 ноября 2019 г.: М.: ООО «Макс Пресс», 2019. С. 14–14.
Доклад посвящен приложению гарантированного подхода, предложенного Смирновым С.Н. [1],[2], к задаче управления портфелем финансовых инструментов на низколиквидном рынке с учетом модельной ошибки. Рассматривается игровая постановка в дискретном времени на конечном горизонте, в рамках которой инвестор максимизирует ожидаемое вознаграждение от портфеля (робастный эквивалент Сэвиджа) в конце стратегии. Оптимальная стратегия находится в неявном виде как решение соответствующего ...
Added: October 30, 2019
Robust Portfolio Optimization in an Illiquid Market in Discrete-Time
Andreev N. A., Mathematics 2019 Vol. 7 No. 12 P. 1147
We present a robust dynamic programming approach to the general portfolio selection problem in the presence of transaction costs and trading limits. We formulate the problem as a dynamic infinite game against nature and obtain the corresponding Bellman-Isaacs equation. Under~several additional assumptions, we get an alternative form of the equation, which is more feasible for ...
Added: October 30, 2019
Гарантированный подход к задачам инвестирования и хеджирования
Andreev N. A., Smirnov S. N., В кн.: "Тихоновские чтения": научная конференция: тезисы докладов: посвящается памяти академика Андрея Николаевича Тихонова: 29 октября-2 ноября 2018 г.: М.: МАКС Пресс, 2018. С. 11–11.
Управление портфелем ценных бумаг, для целей инвестирования или хеджирования, относится к классическим задачам финансовой математики, которые допускают различные постановки, обычно использующие стохастическое динамическое программирование, где управляемым объектом является структура портфеля, а рынок описывается некоторым стохастическим процессом. Доклад посвящен альтернативе общепринятого стохастического подхода, - за основу берется неопределенность поведения рынка в будущем, а динамика рынка описывается одним ...
Added: October 30, 2018
Boundedness of the value function of the worst-case portfolio selection problem with linear constraints
Andreev N. A., / NRU Higher School of Economics. Series FE "Financial Economics". 2017. No. WP BRP 59/FE/2017.
We study the boundedness properties of the value function for a general worst-case scenario stochastic dynamic programming problem. For the portfolio selection problem,we present sufficient economically reasonable conditions for the finitness and uniform boundedness of the value function. The results can be used to decide if the problem is ill-posed and to correctly solve the ...
Added: January 25, 2017
Динамическая оптимизация инвестиционного портфеля с использованием парных копул на примере основных фондовых рынков Европы
Ацканов И. А., Прикладная эконометрика 2015 Т. 4 № 40 С. 84–105
This paper proposes a procedure for dynamic optimization of an investment portfolio, consisting of stock market indices. SJC-copulas were used to assets statistical characteristics of assets. Copulas allow to measure interdependence between financial instruments, and to build an efficient investment portfolio. Since statistical characteristics of assets are changing with time, the structure of the portfolio ...
Added: February 3, 2016
Does Stock Exchange Consolidation Improve Market Liquidity? A Study of Stock Exchange Acquisition in Russia
Tamara V. Teplova, Victoria A. Rodina, Research in International Business and Finance 2016 Vol. 37 P. 375–390
The last couple of decades have witnessed significant institutional and structural changes in financial sector within a worldwide trend toward consolidation. In the segment of organized trading stock exchanges merge and develop into large and diversified publicly traded companies. These processes are rather complicated in case of a transition economy like Russia. In December 2011 ...
Added: January 11, 2016
Динамика размера экономического капитала как критерий эффективности управления риском портфеля.
Sobolev A., Риск-менеджмент в кредитной организации 2015 № 3
Статья посвящена описанию подхода к оценке эффективности портфельного управления кредитным риском на основе анализа динамики размера экономического капитала. ...
Added: November 20, 2015
Практические аспекты управления процентным риском.
Sobolev A., Риск-менеджмент в кредитной организации 2015 № 2
Как управлять процентным риском в условиях резких изменений ключевой ставки? Как анализировать потоки платежей на основе поведенческой модели? Как рассчитать факторы дисконтирования в зависимости от рыночных ставок по валютам? Как определить чувствительность банка к изменению процентных ставок? ...
Added: November 20, 2015
Три вопроса к HFT. Как высокочастотные алгоритмы влияют на волатильность, ликвидность и рыночные шоки – взгляд сквозь призму азиатского рынка
Ивлиев С. В., Арбузов В. О., Фролова М. С. et al., Financial One 2014 № 6 (69) С. 72–77
Одним из наиболее значимых изменений в структуре финансового рынка за последние несколько лет является развитие высокочастотной торговли (англ. High Frequency Trading, HFT). Согласно экспертным оценкам, она отвечает за большую часть транзакций на финансовых рынках (например, более 77% транзакций на рынке Великобритании, по данным Tabb Group) и способна критически влиять на возникновение системных нестабильностей. Например, в ...
Added: May 12, 2015
  • About
  • About
  • Key Figures & Facts
  • Sustainability at HSE University
  • Faculties & Departments
  • International Partnerships
  • Faculty & Staff
  • HSE Buildings
  • HSE University for Persons with Disabilities
  • Public Enquiries
  • Studies
  • Admissions
  • Programme Catalogue
  • Undergraduate
  • Graduate
  • Exchange Programmes
  • Summer University
  • Summer Schools
  • Semester in Moscow
  • Business Internship
  • Research
  • International Laboratories
  • Research Centres
  • Research Projects
  • Monitoring Studies
  • Conferences & Seminars
  • Academic Jobs
  • Yasin (April) International Academic Conference on Economic and Social Development
  • Media & Resources
  • Publications by staff
  • HSE Journals
  • Publishing House
  • iq.hse.ru: commentary by HSE experts
  • Library
  • Economic & Social Data Archive
  • Video
  • HSE Repository of Socio-Economic Information
  • HSE1993–2026
  • Contacts
  • Copyright
  • Privacy Policy
  • Site Map
Edit