Optimal Trade Execution under Jump Diffusion Process: A Mean-VaR Approach

<div>The influence of parameters <svg height="11.4899pt" id="M162" style="vertical-align:-5.52899pt" version="1.1" viewbox="-0.0498162 -5.96091 11.4412 11.4899" width="11.4412pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M538 96L524 119C492 88 454 63 446 63C439 63 434 70 440 101C463 223 491 341 518 448H508L433 422L401 276C355 192 240 56 188 56C163 56 154 89 163 133C184 233 207 338 235 443L230 448L152 424L58 17C40 -60 23 -143 23 -185C23 -241 42 -261 63 -261C92 -261 117 -241 125 -227L124 -221C109 -209 89 -165 89 -103C89 -55 96 -13 105 26H107C121 -3 134 -12 151 -12C172 -12 194 -5 221 16C279 61 330 124 384 194H386C381 159 377 141 368 105C343 3 363 -12 383 -12C416 -12 486 35 538 96Z" id="g113-234"></path></g><g transform="matrix(.0091,0,0,-0.0091,6.89,3.132)"><path d="M400 606C400 634 383 656 353 656C316 656 294 620 294 593C294 564 317 545 343 545C375 545 400 573 400 606ZM366 351C379 413 381 451 356 451C323 451 251 408 183 341L199 313C223 335 267 365 277 365C285 365 284 354 277 312C245 132 222 27 193 -100C182 -148 160 -188 131 -188C113 -188 90 -178 75 -170C64 -164 55 -168 48 -175C38 -185 24 -203 24 -222S48 -257 71 -257C89 -257 131 -241 186 -192C243 -141 286 -46 310 74L366 351Z" id="g50-107"></path></g></svg> and <svg height="6.1673pt" id="M163" style="vertical-align:-0.2063904pt" version="1.1" viewbox="-0.0498162 -5.96091 7.51131 6.1673" width="7.51131pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M545 106L524 126C493 85 467 65 455 65C438 65 427 113 405 238C448 295 498 362 543 439L533 448L478 435C453 386 423 331 398 295H395C370 404 347 448 282 448C169 448 23 309 23 153C23 54 65 -12 128 -12C203 -12 283 70 339 155H341C360 29 380 -12 411 -12C444 -12 491 11 545 106ZM333 204C265 95 210 54 169 54C137 54 113 96 113 171C113 302 191 405 252 405C301 405 318 306 333 204Z" id="g113-223"></path></g></svg> on execution trajectories.</div>

Discrete Dynamics in Nature and Society

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Figure 3

Figure 3: Optimal Trade Execution under Jump Diffusion Process: A Mean-VaR Approach 