Commodity trading strategies in the presence of multiple exchanges and liquidity constraints.

Li, Xu.Thesis submitted in: December 2008.Thesis (M.Phil.)--Chinese University of Hong Kong, 2009.Includes bibliographical references (leaves 41-43).Abstracts in English and Chinese.Abstract --- p.iAcknowledgement --- p.iiChapter 1 --- Introduction --- p.1Chapter 2 --- Background Study --- p.6Chapter 3 --- Model Formulation --- p.8Chapter 3.1 --- Trading Cost Function --- p.9Chapter 3.2 --- Notations and Optimality Equation --- p.11Chapter 4 --- Optimal Policy --- p.14Chapter 4.1 --- Preliminary Assumption and Results --- p.14Chapter 4.1.1 --- "Generalized (s, 5, H) Policy" --- p.14Chapter 4.1.2 --- Polya Distribution and Quasi-K-convex --- p.15Chapter 4.1.3 --- Assumptions --- p.20Chapter 4.2 --- Single Period Problem --- p.23Chapter 4.3 --- Finite-Period Problem --- p.30Chapter 4.4 --- The Algorithm --- p.36Chapter 5 --- Conclusion --- p.39Bibliography --- p.4