Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: An Optimal Execution Problem with a Geometric Ornstein-Uhlenbeck Price
  Process   We study an optimal execution problem in the presence of market impact where
the security price follows a geometric Ornstein-Uhlenbeck process, which
implies the mean-reverting property, and show that the optimal strategy is a
mixture of initial/terminal block liquidation and gradual intermediate
liquidation. The mean-reverting property describes a price recovery effect that
is strongly related to the resilience of market impact, as described in several
papers that have studied optimal execution in a limit order book (LOB) model.
It is interesting that despite the fact that the model in this paper is
different from the LOB model, the form of our optimal strategy is quite similar
to those obtained for an LOB model. Moreover, we discuss what properties cause
gradual liquidation as an optimal strategy by studying various cases and find
out that not only "convexity of market impact function" but also "price
recovery effect" (or, in other words, transience of market impact) are
essential to make a trader execute the security gradually to mitigate the
effect of market impact.

13
The categories of this paper are: quant-ph
8
The categories of this paper are: hep-ex
33
The categories of this paper are: plasm-ph
21
The categories of this paper are: adap-org
9
The categories of this paper are: nlin
25
The categories of this paper are: patt-sol
28
The categories of this paper are: alg-geom
35
The categories of this paper are: mtrl-th
20
The categories of this paper are: acc-phys
34
The categories of this paper are: chem-ph
32
The categories of this paper are: atom-ph
4
The categories of this paper are: cond-mat
16
The categories of this paper are: stat
31
The categories of this paper are: ao-sci
1
The categories of this paper are: cs
19
The categories of this paper are: eess