Optimal liquidation strategy for cryptocurrency marketplaces using stochastic control

【Author】 Kubo, Kenji; Nakagawa, Kei; Mizukami, Daiki; Acharya, Dipesh

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】The cryptocurrency marketplace provides liquidity receiving orders from investors. This requires managing the appropriate inventory risk. An optimal liquidation strategy based on stochastic control has been proposed for such inventory risk management problems of FX dealers. However, the cryptocurrency market has different characteristics than the FX market. Therefore, we propose an optimal liquidation strategy based on stochastic control that considers the characteristics of the cryptocurrency marketplace. We also perform an empirical study using the trading data of a cryptocurrency marketplace. We show that order bias affects the optimal liquidation strategy, and our proposed method is more effective than simple liquidation strategies.

【Keywords】Liquidation strategy; Cryptocurrency marketplace; Stochastic control

【发表时间】2023 MAY

【收录时间】2023-05-17

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-数字货币