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Liquidation in Target Zone Models

Christoph Belak et al.

Market Microstructure and Liquidity2018https://doi.org/10.1142/s2382626619500102article
ABDC B
Weight
0.53

What the paper says

We study optimal liquidation in “target zone models” — asset prices with a reflecting boundary enforced by regulatory interventions. This can be treated as a special case of an Almgren–Chriss model with running and terminal inventory costs and general predictive signals about price changes. The optimal liquidation rate in target-zone models can in turn be characterized as the “theta” of a lookback option, leading to explicit formulas for Bachelier or Black–Scholes dynamics.

12 citations

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https://doi.org/https://doi.org/10.1142/s2382626619500102

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@article{christoph2018,
  title        = {{Liquidation in Target Zone Models}},
  author       = {Christoph Belak et al.},
  journal      = {Market Microstructure and Liquidity},
  year         = {2018},
  doi          = {https://doi.org/https://doi.org/10.1142/s2382626619500102},
}

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Liquidation in Target Zone Models

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Evidence weight

0.53

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.47 × 0.4 = 0.19
M · momentum0.80 × 0.15 = 0.12
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.