We consider the optimal liquidation of a position of stock (long or short) where trading has a temporary market impact on the price. The aim is to minimize both the mean and variance of the order slippage with respect to a benchmark given by the market VWAP (volume weighted average price). In this setting, we introduce a new model for the relative volume curve which allows simultaneously for ac...

We propose and analyze a continuous time stochastic differential game as a mathematical model for the liquidation of a financial position by a distressed trader facing a predator trading with looser time constraints. Temporary and permanent price impacts are used to model liquidity effects. We construct Nash equilibria by solving a system of coupled degenerate HJB equations and analyze the resu...

This paper develops a stochastically-based method of measuring core inflation. The approach exploits the persistent tendency towards high kurtosis evident in the cross-sectional distribution of consumer price changes evident in New Zealand and elsewhere. High kurtosis makes the sample mean a less efficient and less robust estimator of the population, or underlying, mean price change than is an ...

A utility maximization problem in an illiquid market is studied. The financial market is assumed to have temporary price impact with finite resilience. After the formulation of this problem as a Markovian stochastic optimal control problem a dynamic programming approach is used for its analysis. In particular, the dynamic programming principle is proved and the value function is shown to be the...

The importance of drug as a valuable export product in the global economy becomes more clear every day. Understanding the problems of exports and factors affecting it, can be an important step to keep Iran’s position in the world markets and further export development of this product.In this study, Iranian pharmaceutical exports’ supply and demand functions were calculated using co-integration ...

Prices for grocery items differ across stores and time because of promotion periods. Consumers therefore have an incentive to search for the lowest price. When a product is purchased infrequently though, the hassle of checking the price on every shopping trip might outweigh the benefit of spending less. I propose a structural model for storable goods, that takes inventory holdings and search in...