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

Table 1

Simulation parameters.

Parameters	Values
Initial price	$100/share
Total position	shares
Trading time	1day
The permanent impact coefficient
The temporary impact coefficient
The daily volatility
The number of trades	240
The interval between trade	1/240
Arrival rate of jump
Mean of jump amplitude
Variance of jump amplitude
Appetite for risk