Liquidation under dynamic price impact

In order to liquidate a large position in an asset, investors face a tradeoff between price volatility and market impact. The classical approach to this problem is to model volatility via a Brownian motion, and separate price impact into its permanent and temporary components. In this thesis, we consider two variations of the Chriss-Almgren model for temporary price impact. The first model investigates the infinite-horizon optimal liquidation problem in a market with float-dependent, nonlinear temporary price impact. The value function of the investor’s basket and the optimal strategy are characterized in terms of classical solutions of nonlinear parabolic partial differential equations. Depending on the price impact parameters, liquidation may require finite or infinite time. The second model considers time-varying market depth, in that intense trading increases temporary price-impact, which otherwise reverts to a long-term level. We find the optimal execution policy in a finite horizon for an investor with constant risk aversion, and derive the solution using calculus of variation techniques. Although the model potentially allows for price manipulation strategies, these policies are never optimal. We study the non time-constrained case as a limit to the finite-horizon case and explain the solution through a quasi-linear PDE

Modelling Covariates in Multipath Change

2000 Mathematics Subject Classification: 62N02In the multipath change - point problems, it is often of interest to assess the impact of covariates on the change point itself as well as on the parameter before and after the change point. In this paper, we consider a simple model for the change-point distribution, and then through hazard, we include covariates in the change point distribution. Maximum likelihood estimation is discussed

Modeling and analyzing parasitic parameters in high frequency converters

This research focuses on electromagnetic interference (EMI) / electromagnetic compatibility (EMC) design and analysis in power electronics systems. To limit the EMI under the standards, different methods and strategies are investigated. Parasitic parameters of high frequency (HF) transformer are analyzed using a novel analytical method, finite element method (FEM), and experimental measurements for different structures and windings arrangements. Also, the magnetic field, electric field, electric displacement, and electric potential distribution are simulated and analyzed. Moreover, a high voltage system is considered and analyzed to improve the EMC. The EMI propagation paths are analyzed. The EMI noise level of the system is obtained and compared to the IEC61800-3 standard. To improve the EMC, the parasitic parameters of the transformer, as the main path of EMI circulation, are analyzed and optimized to block the propagation. Furthermore, the geometry structure of the HF transformer is optimized to lower the parasitics in the system. Three pareto-optimal techniques are investigated for the optimization. The models and results are verified by 3D-FEM and experimental results for several given scenarios. Furthermore, the EMC modeling and conducted EMI analysis are developed for a system including an AC-DC-DC power supply (rectifier and dual active bridge (DAB) converter). Moreover, the common mode (CM) EMI noise propagation through the system is discussed and the noise sources and effect of components on the noise are analyzed. Additionally, the CM impedance of different parts of the system and the noise levels are discussed. Finally, EMI attenuation techniques were applied to the system --Abstract, page iv

The Study Factors Influencing Corporate Dividend Policy of Financial and Non-Financial Firms on Companies Listed In Tehran Stock Exchange

This study investigates factors influencing corporate dividend policy of financial and non-financial firms on companies listed in tehran stock exchange. For this purpose, dividends payable as a variable dividend policy alternatives were considered. Empirically the research data is collected from 70 firms in the Tehran Security Exchange (TSE) during 2009-2013 using the RA software and the site of the Tehran Stock Exchange were collected. Multiple regressions technique is used for examining the stated hypotheses. The results indicate that the variable size and liquidity of the company has a significant positive impact on the dividend is payable. Therefore, it can be argued that increasing the size and liquidity of the company paying the dividends by companies to increase. Keywords: dividend policy, dividends payable, liquidity, firm size, financial leverag