Optimalisasi eksekusi saham dengan biaya likuiditas taklinear

Abstract

Generally, transaction in capital market considers two things. i.e. transaction cost and transaction risk. The transaction cost arises from temporary and permanent market impact. Tempofmy market impact represents a liquidity cost, while permanent market impact represents the effect of information on share price. On the other hand, the risk of share transaction consists of uncertain liquidity cost and the volatility risk, which is related to the uncertainty of share price. This paper studies the trading strategy that minimizes the transaction cost with the assumption that liquidity cost is a nonlinear function and subject to its uncertainty risk. Furthermore, this paper examines the influence ofa nonlinear liquidity cost to the trading strategy. The results are as follows. For quadratic liquidity cost, if the trading rate increases, then the liquidity cost will also increase with higher rate. On the other hand, for square root function, if the trading rate increases, then the liljuidity cost will also in~,rease but smaller rate.