Optimal liquidation using after-hours fixed-price trading

发布时间:2022-07-16 浏览次数:36

报告题目:Optimal liquidation using after-hours fixed-price trading

主讲人:南京大学杨念副教授

时间:2022720日(星期三)上午9:30--10:30

地点:https://meeting.tencent.com/dm/dYua9k7qHFzz 

主办单位:金融工程研究中心

 

报告摘要:The after-hours fixed-price (AHFP) trading mechanism exists in exchanges such as TWSE, SSE STAR Market, SZSE ChiNext Market, and Nasdaq, which allows investors to trade at the closing price after the regular trading session. In this paper, we consider an investor’s liquidation problem using the two sessions in the exchange: the AHFP session in the first, and the regular session in the second. Based on the empirical evidence that the disclosed, unfilled orders in the AHFP session has a price impact on the subsequent trades in regular hours, we propose a multi-stage dynamic programming model for the liquidation problem. We derive explicit optimal trading strategies to the liquidation problem, in which the transparency of the first session plays an important role. As the price impact to the regular session from unfilled orders disclosed in the AHFP session increases, investors reduce the volume of orders submitted in AHFP session until it reaches zero. In particular, if the unfilled order in the AHFP session is opaque, then the investor will submit all orders in the AHFP session. Such strategy also rationalizes the trading behavior of the larger investors documented in the literature such as Conrad et al. (2003) and Næs and Ødegaard (2006).

 

 

主讲人简介:

杨念现任南京大学商学院金融与保险学系副教授,于2013年获得香港中文大学系统工程与工程管理学系哲学(金融 工程)博士学位。他的研究兴趣主要集中的金融衍生品市场、金融计量、金融合约理论等领域,其相关研究成果发表在 Journal of Econometrics, Journal of Economic Dynamics and Control, Quantitative Finance等杂志。


 
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