Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Optimal liquidation for a risk averse investor in a one-sided limit
  order book driven by a Levy process   In a one-sided limit order book, satisfying some realistic assumptions, where
the unaffected price process follows a Levy process, we consider a market agent
that wants to liquidate a large position of shares. We assume that the agent
has constant absolute risk aversion and aims at maximising the expected utility
of the cash position at the end of time. The agent is then faced with the
problem of balancing the market risk and the cost of a rapid execution. In
particular we are interested in how the agent should go about optimally
submitting orders. Since liquidation normally takes place within a short period
of time, modelling the risk as a Levy process should provide a realistic model
with good statistical fit to observed market data, and thus the model should
provide a realistic reflection of the agent's market risk. We reduce the
optimisation problem to a deterministic two-dimensional singular problem, to
which we are able to derive an explicit solution in terms of the model data. In
particular we find an expression for the optimal intervention boundary, which
completely characterise the optimal liquidation strategy.

18
The categories of this paper are: econ
28
The categories of this paper are: alg-geom
4
The categories of this paper are: cond-mat
27
The categories of this paper are: comp-gas
6
The categories of this paper are: astro-ph
29
The categories of this paper are: funct-an
3
The categories of this paper are: physics
21
The categories of this paper are: adap-org
23
The categories of this paper are: solv-int
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The categories of this paper are: acc-phys
24
The categories of this paper are: dg-ga
11
The categories of this paper are: hep-lat
31
The categories of this paper are: ao-sci
1
The categories of this paper are: cs
0
The categories of this paper are: hep-ph
14
The categories of this paper are: math-ph