APPLICATION FOR MARKET IMPACT OF STOCK PRICE USING A CUMULATIVE DAMAGE MODEL

This paper considers the problem of maximizing an expected liquidation profit of holdings, when the market impact of stock price is caused by the holdings sell-off. The cumulative damage model is applied to the fluctuations of stock price. We derive and analytically discusse an optimal sell-off inte...

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Bibliographic Details
Published inAdvanced Reliability Modeling II pp. 660 - 667
Main Authors NAKAMURA, SYOUJI, ARAFUKA, MIWAKO, NAKAGAWA, TOSHIO, KONDO, HITOSHI
Format Book Chapter
LanguageEnglish
Japanese
Published WORLD SCIENTIFIC 01.07.2006
Subjects
VIII. Stochastic Models
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ISBN9814478121
9789812773760
9812567585
9789814478120
9812773762
9789812567581
DOI10.1142/9789812773760_0079

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Summary:This paper considers the problem of maximizing an expected liquidation profit of holdings, when the market impact of stock price is caused by the holdings sell-off. The cumulative damage model is applied to the fluctuations of stock price. We derive and analytically discusse an optimal sell-off interval of holdings to maximaize the expected liquidation profit of holdings.
ISBN:9814478121
9789812773760
9812567585
9789814478120
9812773762
9789812567581
DOI:10.1142/9789812773760_0079