The Research on Optimal Liquidation Strategies in Chinese Stock Market
中国股票市场最优清算策略研究

The optimal liquidation strategies for large security positions in Chinese stock market are studied in this paper.Balancing the exposure to the price variance against the market impact,we obtain the optimal liquidation strategies under the VaR framework.The theory indicates that the optimal liquidation strategies depend on the positions,trade interval,market impact coefficient and stock volatility.After estimating the stock impact coefficient,empirical research and Monte Carlo simulation are used to verify the theory.And the results of the simulation shows these strategies are truly optimal(or approximately optimal).