Optimizing Execution Cost Using Stochastic Control.

Date of Submission

December 2017

Date of Award

Winter 12-12-2018

Institute Name (Publisher)

Indian Statistical Institute

Document Type

Master's Dissertation

Degree Name

Master of Technology

Subject Name

Computer Science

Department

Sampling and Official Statistics Unit (SOSU-Kolkata)

Supervisor

Mukherjee, Diganta (SOSU-Kolkata; ISI)

Abstract (Summary of the Work)

In this work, we devise an optimal allocation strategy for the execution of a predefined no. of stocks in a given time period using the technique of discrete-time Stochastic Control Theory for two different market models. The market model-I (MM-I) which allows an instant execution of market orders has been analyzed by assuming geometric Brownian motion of the stock prices for two different cost functions where the first function involves just the fiscal cost while the cost function of the second kind incorporates market risks along with fiscal costs. Subsequently, we improvise an investment strategy for the delayed stock execution (MM-II) and compare the performance of the resulting policies with some of the commonly used execution strategies.

Comments

ProQuest Collection ID: http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&res_dat=xri:pqm&rft_dat=xri:pqdiss:28843374

Control Number

ISI-DISS-2017-355

Creative Commons License

Creative Commons Attribution 4.0 International License
This work is licensed under a Creative Commons Attribution 4.0 International License.

DOI

http://dspace.isical.ac.in:8080/jspui/handle/10263/6814

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