Discrete Dynamics in Nature and Society / 2018 / Article / Tab 1

Research Article

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

Table 1

Simulation parameters.


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

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