2019 Fiscal Year Final Research Report
Innovative Applications of Advanced Stochastic Control Theory to Contemporary Issues in Finance and Financial Engineering
| Project/Area Number |
17K01255
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Social systems engineering/Safety system
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| Research Institution | Osaka University |
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Principal Investigator |
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| Project Period (FY) |
2017-04-01 – 2020-03-31
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| Keywords | 売買取引き執行問題 / 市場価格インパクト・モデル / 確率動的計画法 / 確率ゲーム理論 / 確率制御理論 |
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| Outline of Final Research Achievements |
Concerning with the issues of trade execution in financial markets, we propose a new generalized market price impact model for both discrete time and continuous time settings, and then we study optimization problems of the trade execution for a single large trader by applying stochastic dynamic programming [Markov decision process, discrete-time stochastic control theory], and trade execution games played for multiple large traders by applying stochastic game theory [Markov game theory], respectively. Their problems were formulated and analyzed, and the optimal trading execution strategy and equilibrium trading execution strategy were characterized and derived. By conducting further numerical computation experiments, we were able to obtain interesting numerical comparative statics results that had not previously been obtained.
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| Free Research Field |
ファイナンス，金融工学
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| Academic Significance and Societal Importance of the Research Achievements |
金融市場における売買取引き執行問題に関して，一般化された市場価格インパクト・モデルを新たに提案したこと．さらに，複数の大きなトレーダーによってなされる取引き執行ゲームの定式化と均衡分析に成功したこと．
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