Execution game in a Markovian environment (Financial Modeling and Analysis)

This paper examines an execution game model in a Markovian environment. We focus on how two risk-averse large traders execute a large volume of a risky asset to maximize the expected utility of each large trader from the terminal wealth over a finite horizon. The price impact caused by each large trader and the Markovian environment are assumed to affect the market and execution price. A formulation as a Markov game model enables us to solve this problem. We obtain an equilibrium execution strategy and its associated value function under a Markov perfect equilibrium via the backward induction method of dynamic programming

Optimal pair-trade execution with generalized cross-impact (Financial Modeling and Analysis)

We examine a discrete-time optimal pair-trade execution problem with generalized cross-impact. This research is an extension of [14], which consider the price impact of aggregate random orders posed by small traders with a Markovian dependence. We focus on how a risk-averse large trader optimally executes two correlated assets to maximize his/her expected utility from the final wealth over a finite horizon. A stochastic dynamic programming modeling constitutes the basis for the formulation of the optimal pair-trade execution problem. Then, under some regularity conditions, the backward induction method of dynamic programing enables us to derive the optimal pair-trade execution strategy and its associated optimal value function. Besides, we reveal that the trading orders of each risky asset posed by small traders do affect the optimal execution volume of both risky assets

Equilibrium execution strategies with generalized price impacts (Financial Modeling and Analysis)

This paper examines the execution problem of large traders with generalized price impact model. Constructing a model in a discrete-time setting, we solve this problem by applying the backward induction method of the dynamic programming. In this model, we formulate the expected utility maximization problem of multiple large traders as a Markov game and derive an equilibrium execution strategy at a Markov perfect equilibrium. This model enables us to investigate how the execution strategies and trade performances of these large traders are affected by the existence of other traders. Moreover, we find that these equilibrium execution strategies become deterministic when the total execution volumes of non large traders are deterministic. We also show, by some numerical examples, the comparative statics results with respect to several problem parameters

ASCA Observations of Two Ultra-Luminous Compact X-Ray Sources in the Edge-on Spiral Galaxy NGC 4565

The edge-on spiral galaxy NGC 4565 was observed for $\sim$ 35 ks with ASCA in the 0.5-10 keV energy band. The X-ray emission was dominated by two bright sources, which can be identified with two point-like X-ray sources seen in the ROSAT HRI image. The observed 0.5-10 keV fluxes of these sources, $1.7 \times 10^{-12} erg/s cm^{-2}$ and $0.7 \times 10^{-12}erg/s cm^{-2}$, %$1.66 \times 10^{-12} erg/s cm^{-2}$ %$0.66 \times 10^{-12} erg/s cm^{-2}$ imply bolometric luminosities of $1.0\times 10^{40} erg/s$ and $4 \times 10^{39} erg/s$, respectively. They exhibit similar spectra, which can be explained by emission from optically thick accretion disks with the inner disk temperature of 1.4-1.6 keV. One of them, coincident in position with the nucleus, shows too low absorption to be the active nucleus seen through the galaxy disk. Their spectra and high luminosities suggest that they are both mass accreting black hole binaries. However the black-hole mass required by the Eddington limit is rather high ($\geq 50 M_{\odot}$), and the observed disk temperature is too high to be compatible with the high black-hole mass. Several attempts are made to solve these problesms.Comment: 20page

Optimal execution under a generalized price impact model with Markovian exogenous orders in a continuous-time setting (Financial Modeling and Analysis)

In this paper, we analyze a continuous-time analog of the optimal trade execution problem with generalized price impacts, which was recently discussed in [11] for a discrete-time setting. The market model considers transient price impacts of random trade execution volumes posed by small traders as well as a large trader. Our problem is formulated as a stochastic continuous control problem over a finite horizon of maximizing the expected utility from the final wealth of the large trader with Constant Absolute Risk Aversion (CARA) von Neumann-Morgenstern (vN-M) utility function. By examining the Hamilton-Jacobi-Bellman (HJB) equation, we characterize the optimal value function and optimal trade execution strategy, and conclude that the trade execution strategy is a time-dependent affine function of three state variables: the remained trade execution volume of the large trader and, so-called, the residual effects of past price impacts caused by both of the large trader and other small traders and the small traders' aggregate volume of orders itself. Further, the time-dependent coefficients could be derived from a solution of a system of ordinary differential equations (ODEs) with terminal conditions, which is numerically tractable

Discovery of Enhanced Radiative Recombination Continua of He-like Iron and Calcium from IC 443 and Its Implications

We present deep observations of the Galactic supernova remnant IC 443 with the {\it Suzaku X-ray satellite}. We find prominent K-shell lines from iron and nickel, together with a triangle residual at 8--10~keV, which corresponds to the energy of the radiative recombination continuum (RRC) of He-like iron. In addition, the wavy residuals have been seen at $\sim$5.1 and $\sim$5.5~keV. We confirm that the residuals show the first enhanced RRCs of He- and H-like calcium found in supernova remnants. These facts provide robust evidence for the recombining plasma. We reproduce the plasma in the 3.7--10~keV band using a recombining plasma model at the electron temperature 0.65~keV. The recombination parameter $n_{\rm e}t$ ($n_{\rm e}$ is electron density and $t$ is elapsed time after formation of a recombining plasma) and abundances of iron and nickel are strongly correlated, and hence the errors are large. On the other hand, the ratio of nickel to iron relative to the solar abundances is well constrained to 11$^{+4}_{-3}$ (1$\sigma$). A possibility is that the large abundance ratio is a result of an asymmetric explosion of the progenitor star.Comment: 4 pages, 5 figures, published in Ap