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Stock Liquidation Via Stochastic Approximation Using Nasdaq Daily And Intra‐Day Data

Author

Listed:
  • G. Yin
  • Q. Zhang
  • F. Liu
  • R. H. Liu
  • Y. Cheng

Abstract

By focusing on computational aspects, this work is concerned with numerical methods for stock selling decision using stochastic approximation methods. Concentrating on the class of decisions depending on threshold values, an optimal stopping problem is converted to a parametric stochastic optimization problem. The algorithms are model free and are easily implementable on‐line. Convergence of the algorithms is established, second moment bound of estimation error is obtained, and escape probability from a neighborhood of the true parameter is also derived. Numerical examples using both daily closing prices and intra‐day data are provided to demonstrate the performance of the algorithms.

Suggested Citation

  • G. Yin & Q. Zhang & F. Liu & R. H. Liu & Y. Cheng, 2006. "Stock Liquidation Via Stochastic Approximation Using Nasdaq Daily And Intra‐Day Data," Mathematical Finance, Wiley Blackwell, vol. 16(1), pages 217-236, January.
    • Handle: RePEc:bla:mathfi:v:16:y:2006:i:1:p:217-236
    DOI: 10.1111/j.1467-9965.2006.00269.x
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    Cited by:

    1. G. Yin & Q. Zhang & C. Zhuang, 2010. "Recursive Algorithms for Trailing Stop: Stochastic Approximation Approach," Journal of Optimization Theory and Applications, Springer, vol. 146(1), pages 209-231, July.
    2. Zsolt Nika & Mikl'os R'asonyi, 2019. "Learning Threshold-Type Investment Strategies with Stochastic Gradient Method," Papers 1907.02457, arXiv.org.
    3. Juozas Vaicenavicius, 2017. "Asset liquidation under drift uncertainty and regime-switching volatility," Papers 1701.08579, arXiv.org, revised Jan 2019.
    4. Pemy, M. & Zhang, Q. & Yin, G., 2007. "Liquidation of a large block of stock," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1295-1305, May.
    5. Ma, Jingtang & Li, Wenyuan & Zheng, Harry, 2017. "Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization," European Journal of Operational Research, Elsevier, vol. 262(3), pages 851-862.
    6. Moustapha Pemy & Qing Zhang & G. George Yin, 2008. "Liquidation Of A Large Block Of Stock With Regime Switching," Mathematical Finance, Wiley Blackwell, vol. 18(4), pages 629-648, October.

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