Документ взят из кэша поисковой машины. Адрес оригинального документа : http://new.math.msu.su/department/probab/bsk_24_11.doc Дата изменения: Mon Apr 25 12:07:54 2011 Дата индексирования: Sat Apr 9 23:57:29 2016 Кодировка: koi8-r

Кафедра ТЕОРИИ ВЕРОЯТНОСТЕЙ









БОЛЬШОЙ СЕМИНАР


КАФЕДРЫ ТЕОРИИ ВЕРОЯТНОСТЕЙ

(руководитель - член-корр. РАН, профессор А.Н. Ширяев)


27 апреля - Dmitry Kramkov (Carnegie Mellon)

A model for price impact.

Abstract.
A typical financial model presumes that the prices of traded
securities are not affected by an investor's buy and sell orders.
From a practical viewpoint this assumption is justified as long as his
trading volume remains small enough to be easily covered by market
liquidity. An opposite situation occurs, for instance, when an
economic agent has to sell a large block of shares over a short period
of time; this is an "optimal liquidation" problem.

I present results of our joint work with Peter Bank. We develop a
continuous-time model for a large investor trading at market
indifference prices. In analogy to the construction of stochastic
integrals, we investigate the transition from simple to general
predictable strategies. A key role is played by a stochastic
differential equation for the market makers' utility process. The
analysis of this equation relies on conjugacy relationships between
the stochastic processes with values in the spaces of saddle
functions associated with the representative agent's utility. Two
preprints
on the subject are available on
http://www.math.cmu.edu/~kramkov/publications.html



Доклад состоится в аудитории 15-03. Начало в 15.00.

Координатором семинара на весенний семестр 2011 года назначен д.ф.-м.н.,
профессор
В. Н. Тутубалин, ученым секретарем семинара - Амир Алиев
(amiraliev@gmail.com).