Optimal execution strategies in limit order books with general shape functions

We consider optimal execution strategies for block market orders placed in a limit order book (LOB). We build on the resilience model proposed by Obizhaeva and Wang (2005) but allow for a general shape of the LOB defined via a given density function. Thus, we can allow for empirically observed LOB shapes and obtain a nonlinear price impact of market orders. We distinguish two possibilities for modeling the resilience of the LOB after a large market order: the exponential recovery of the number of limit orders, i.e., of the volume of the LOB, or the exponential recovery of the bid-ask spread. We consider both of these resilience modes and, in each case, derive explicit optimal execution strategies in discrete time. Applying our results to a block-shaped LOB, we obtain a new closed-form representation for the optimal strategy, which explicitly solves the recursive scheme given in Obizhaeva and Wang (2005). We also provide some evidence for the robustness of optimal strategies with respect to the choice of the shape function and the resilience-type

Do wildflower strips enhance pest control in organic cabbage?

Within this project we assess whether wildflower strips and companion plants increase the control of cabbage pests Plutella xylostella L. (Lepidoptera: Plutellidae), Mamestra brassicae L. (Lepidoptera: Noctuidae) and Pieris rapae L. (Lepidoptera: Pieridae) by (1) naturally occurring parasitoids and predators and (2) mass‐releasedn Trichogramma brassciae (Bezdenko) (Hymenoptera: Trichogrammatidae) parasitoids. Two organic cabbage fields were used for this study: adjacent to each field a wildflower strip was sown and companion plants (Centaurea cyanus L. (Asteraceae)) intermixed within the crop. Within each field ~15,000 M. brassicae eggs were placed out to determine the parasitism rates by mass‐released T. brassicae and to assess the levels of egg predation. Over 1,000 lepidopteran larvae were collected and screened for hymenopteran and tachinid parasitoid DNA using a multiplex PCR assay. Invertebrate generalist predators (n=1,063) were collected for DNA‐based gut content analysis. The wildflower strip had a significant positive effect on M. brassicae egg parasitism rates as rates increased 5‐fold in the vicinity to the strip. Moreover, companion plants enhanced invertebrate predation on M. brassicae eggs. Both, the release of T. brassicae and the use of companion plants, however, did not significantly increase egg parasitism rates. The infestation of plants by caterpillars increased with distance to the wildflower strip and there was a trend of decreasing larval parasitism rates with distance to the strip. Currently the invertebrate predators are being molecularly analysed to assess predation on unparasitized and parasitized lepidopteran pests

Drift dependence of optimal trade execution strategies under transient price impact

We give a complete solution to the problem of minimizing the expected liquidity costs in presence of a general drift when the underlying market impact model has linear transient price impact with exponential resilience. It turns out that this problem is well-posed only if the drift is absolutely continuous. Optimal strategies often do not exist, and when they do, they depend strongly on the derivative of the drift. Our approach uses elements from singular stochastic control, even though the problem is essentially non-Markovian due to the transience of price impact and the lack in Markovian structure of the underlying price process. As a corollary, we give a complete solution to the minimization of a certain cost-risk criterion in our setting

Knowledge as quality non-conformance : A critical case study of ISO 9000 and adult education in the workplace.

The study focused on the impact of the process seeking ISO 9000 registration and the way in which learning processes come to be defined as defective

Calibration of optimal execution of financial transactions in the presence of transient market impact

Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A proper design of an optimal execution strategy strongly depends on a careful modeling of market impact, i.e. how the price reacts to trades. In this paper we consider a recently introduced market impact model (Bouchaud et al., 2004), which has the property of describing both the volume and the temporal dependence of price change due to trading. We show how this model can be used to describe price impact also in aggregated trade time or in real time. We then solve analytically and calibrate with real data the optimal execution problem both for risk neutral and for risk averse investors and we derive an efficient frontier of optimal execution. When we include spread costs the problem must be solved numerically and we show that the introduction of such costs regularizes the solution.Comment: 31 pages, 8 figure

Theoretical and Numerical Analysis of an Optimal Execution Problem with Uncertain Market Impact

This paper is a continuation of Ishitani and Kato (2015), in which we derived a continuous-time value function corresponding to an optimal execution problem with uncertain market impact as the limit of a discrete-time value function. Here, we investigate some properties of the derived value function. In particular, we show that the function is continuous and has the semigroup property, which is strongly related to the Hamilton-Jacobi-Bellman quasi-variational inequality. Moreover, we show that noise in market impact causes risk-neutral assessment to underestimate the impact cost. We also study typical examples under a log-linear/quadratic market impact function with Gamma-distributed noise.Comment: 24 pages, 14 figures. Continuation of the paper arXiv:1301.648

An Optimal Execution Problem with Market Impact

We study an optimal execution problem in a continuous-time market model that considers market impact. We formulate the problem as a stochastic control problem and investigate properties of the corresponding value function. We find that right-continuity at the time origin is associated with the strength of market impact for large sales, otherwise the value function is continuous. Moreover, we show the semi-group property (Bellman principle) and characterise the value function as a viscosity solution of the corresponding Hamilton-Jacobi-Bellman equation. We introduce some examples where the forms of the optimal strategies change completely, depending on the amount of the trader's security holdings and where optimal strategies in the Black-Scholes type market with nonlinear market impact are not block liquidation but gradual liquidation, even when the trader is risk-neutral.Comment: 36 pages, 8 figures, a modified version of the article "An optimal execution problem with market impact" in Finance and Stochastics (2014

The LIM-only protein FHL2 attenuates lung inflammation during bleomycin-induces fibrosis

Fibrogenesis is usually initiated when regenerative processes have failed and/or chronic inflammation occurs. It is characterised by the activation of tissue fibroblasts and dysregulated synthesis of extracellular matrix proteins. FHL2 (four-and-a-half LIM domain protein 2) is a scaffolding protein that interacts with numerous cellular proteins, regulating signalling cascades and gene transcription. It is involved in tissue remodelling and tumour progression. Recent data suggest that FHL2 might support fibrogenesis by maintaining the transcriptional expression of alpha smooth muscle actin and the excessive synthesis and assembly of matrix proteins in activated fibroblasts. Here, we present evidence that FHL2 does not promote bleomycin-induced lung fibrosis, but rather suppresses this process by attenuating lung inflammation. Loss of FHL2 results in increased expression of the pro-inflammatory matrix protein tenascin C and downregulation of the macrophage activating C-type lectin receptor DC-SIGN. Consequently, FHL2 knockout mice developed a severe and long-lasting lung pathology following bleomycin administration due to enhanced expression of tenascin C and impaired activation of inflammation-resolving macrophages

A model for a large investor trading at market indifference prices. I: single-period case

We develop a single-period model for a large economic agent who trades with market makers at their utility indifference prices. A key role is played by a pair of conjugate saddle functions associated with the description of Pareto optimal allocations in terms of the utility function of a representative market maker.Comment: Shorten from 69 to 30 pages due to referees' requests; a part of the previous version has been moved to "The stochastic field of aggregate utilities and its saddle conjugate", arXiv:1310.728