arXiv research

Solves optimal liquidation problem for stock price following geometric Brownian motion.

Investigates convexity of minimizers under mass constraint using nonlocal perimeter and potential.

Sharp stability in Almgren problem solved in any dimension.

In this paper we discuss various minimality properties for the orthogonal product of two 1-dimensional $\Y$ sets, and some related problems. This is motivated by an attempt to give the classification of singularities for 2-dimensional Almgren-minimal sets in $\R^4$.

This research proves that two min-max theories for hypersurfaces are equivalent.

In this study, we introduce an explicit trading-volume process into the Almgren-Chriss model, which is a standard model for optimal execution. We propose a penalization method for deriving a verification theorem for an adaptive optimization problem. We also discuss the optimality of the volume-weighted average-price st…

Constructs area-minimizing submanifolds with fractal singularities.

Proves spectra equivalence for Riemannian manifolds.

We consider an optimal liquidation problem with infinite horizon in the Almgren-Chriss framework, where the unaffected asset price follows a Levy process. The temporary price impact is described by a general function which satisfies some reasonable conditions. We consider an investor with constant absolute risk aversio…

We propose two methods to obtain exact solutions for the Almgren-Chriss model about optimal execution of portfolio transactions. In the first method we rewrite the Almgren-Chriss equation and find two exact solutions. In the second method, employing a general reparametrized time, we show that the Almgren-Chriss equatio…

We show that wealth processes in the block-shaped order book model of Obizhaeva/Wang converge to their counterparts in the reduced-form model proposed by Almgren/Chriss, as the resilience of the order book tends to infinity. As an application of this limit theorem, we explain how to reduce portfolio choice in highly-re…

We show that there is no analog of Kirszbraun's extension theorem for Almgren's multiple valued functions.

We present an exposition of a remarkable example attributed to Frederick Almgren Jr. in \cite[Section 5.11]{Federer74} to illustrate the need of certain definitions in the calculus of variations. The Almgren-Federer example, besides its intended goal of illustrating subtle aspects of geometric measure theory, is also a…

This paper optimizes brokerage contracts for multiple clients trading a single asset.

We introduce a notion of non-local almost minimal boundaries similar to that introduced by Almgren in geometric measure theory. Extending methods developed recently for non-local minimal surfaces we prove that flat non-local almost minimal boundaries are smooth. This can be viewed as a non-local version of the Almgren-…

Study confirms a 2-sphere metric with three geodesics of minimal length.

Study proves uniform ellipticity implies uniform polyconvexity for anisotropic energy functionals.

Paper proves existence of area-minimizing submanifolds on almost any manifold with fractal singular sets.

The classical literature on optimal liquidation, rooted in Almgren-Chriss models, tackles the optimal liquidation problem using a trade-off between market impact and price risk. Therefore, it only answers the general question of the optimal liquidation rhythm. The very question of the actual way to proceed with liquida…

In analogy with Almgren's Theorem for area minimizing currents of general dimension and codimension, we prove that an $m$-dimensional semicalibrated current in a $(n+m)$-dimensional $C^{3,\varepsilon_0}$ manifold, semicalibrated by a $C^{2,\varepsilon_0}$ $m$-form, has singular set of Hausdorff dimension at most $m-2$.

Analytic saddle spheres in S^3 are equators.

We aim at explaining the most basic ideas underlying two fundamental results in the regularity theory of area minimizing oriented surfaces: De Giorgi's celebrated $\varepsilon$-regularity theorem and Almgren's center manifold. Both theorems will be proved in a very simplified situation, which however allows to illustra…

Study on the nodal set of Dirac equation solutions on manifolds.

We consider the optimal trade execution strategies for a large portfolio of single stocks proposed by Almgren (2003). This framework accounts for a nonlinear impact of trades on average market prices. The results of Almgren (2003) are based on the assumption that no shares of assets per unit of time are trade at the be…

Paper solves trade-off between internalisation and externalisation in stochastic trade flows.

For a market impact model, price manipulation and related notions play a role that is similar to the role of arbitrage in a derivatives pricing model. Here, we give a systematic investigation into such regularity issues when orders can be executed both at a traditional exchange and in a dark pool. To this end, we focus…

We analyze a notion of multiple valued sections of a vector bundle over an abstract smooth Riemannian manifold, which was suggested by W. Allard in the unpublished note "Some useful techniques for dealing with multiple valued functions" and generalizes Almgren's $Q$-valued functions. We study some relevant properties o…

Paper uses RL to optimize trading in time-varying liquidity markets.

The paper establishes a sub-additive inequality for volume and ε-phase-transition spectra of Riemannian manifolds.

The Min-max Theory for the area functional, started by Almgren in the early 1960s and greatly improved by Pitts in 1981, was left incomplete because it gave no Morse index estimate for the min-max minimal hypersurface. We advance the theory further and prove the first general Morse index bounds for minimal hypersurface…

In this paper, we generalize the Almgren-Chriss's market impact model to a more realistic and flexible framework and employ it to derive and analyze some aspects of optimal liquidation problem in a security market. We illustrate how a trader's liquidation strategy alters when multiple venues and extra information are b…

Modeling market makers' quoting strategies to understand price impact.

The paper solves a utility-based hedging problem with quadratic costs.

The paper shows how Sobolev maps affect currents in metric spaces.

One-dimensional crystals have convex shapes under certain conditions.

The volume weighted average price (VWAP) execution strategy is well known and widely used in practice. In this study, we explicitly introduce a trading volume process into the Almgren-Chriss model, which is a standard model for optimal execution. We then show that the VWAP strategy is the optimal execution strategy for…

In illiquid markets, option traders may have an incentive to increase their portfolio value by using their impact on the dynamics of the underlying. We provide a mathematical framework within which to value derivatives under market impact in a multi-player framework by introducing strategic interactions into the Almgre…

We consider $n$ risk-averse agents who compete for liquidity in an Almgren--Chriss market impact model. Mathematically, this situation can be described by a Nash equilibrium for a certain linear-quadratic differential game with state constraints. The state constraints enter the problem as terminal boundary conditions f…

The paper solves a thermodynamics problem about crystal shape.

In this paper, we construct the utility-based optimal hedging strategy for a European-type option in the Almgren-Chriss model with temporary price impact. The main mathematical challenge of this work stems from the degeneracy of the second order terms and the quadratic growth of the first order terms in the associated …

We derive an explicit solution for deterministic market impact parameters in the Graewe and Horst (2017) portfolio liquidation model. The model allows to combine various forms of market impact, namely instantaneous, permanent and temporary. We show that the solutions to the two benchmark models of Almgren and Chris (20…

In this paper, we study optimal liquidation problems in a randomly-terminated horizon. We consider the liquidation of a large single-asset portfolio with the aim of minimizing a combination of volatility risk and transaction costs arising from permanent and temporary market impact. Three different scenarios are analyze…

Reinforcement learning is explored as a candidate machine learning technique to enhance existing analytical solutions for optimal trade execution with elements from the market microstructure. Given a volume-to-trade, fixed time horizon and discrete trading periods, the aim is to adapt a given volume trajectory such tha…

This is the last of a series of three papers in which we give a new, shorter proof of a slightly improved version of Almgren's partial regularity of area minimizing currents in Riemannian manifolds. Here we perform a blow-up analysis deducing the regularity of area minimizing currents from that of Dir-minimizing multip…

Study on unique solutions to one-phase free boundary problems.

There are two schools of thought regarding market impact modeling. On the one hand, seminal papers by Almgren and Chriss introduced a decomposition between a permanent market impact and a temporary (or instantaneous) market impact. This decomposition is used by most practitioners in execution models. On the other hand,…

I will talk about my recent work with Fernando Marques where we used Almgren-Pitts Min-max Theory to settle some open questions in Geometry: The Willmore conjecture, the Freedman-He-Wang conjecture for links (jointly with Ian Agol), and the existence of infinitely many minimal hypersurfaces in manifolds of positive Ric…

In this work we prove the existence of embedded closed minimal hypersurfaces in non-compact manifolds containing a bounded open subset with smooth and strictly mean-concave boundary and a natural behavior on the geometry at infinity. For doing this, we develop a modified min-max theory for the area functional following…