Effective Trade Execution

Evolutionary Computation and Trade Execution

Dynamic trade execution: a grammatical evolution approach

Trade execution is concerned with the actual mechanics of buying or selling the desired amount of a financial instrument. Investors wishing to execute large orders face a tradeoff between market impact and opportunity cost. Trade execution strategies are designed to balance out these costs, thereby minimising total trading cost. Despite the importance of optimising the trade execution process, ...

Optimal Trade Execution in Illiquid Markets

We study optimal trade execution strategies in financial markets with discrete order flow. The agent has a finite liquidation horizon and must minimize price impact given a random number of incoming trade counterparties. Assuming that the order flow N is given by a Poisson process, we give a full analysis of the properties and computation of the optimal dynamic execution strategy. Extensions, w...

On Effective Execution of Nonuniform DOACROSS Loops

It is extremely difficult to parallelize DOACROSS loops with non-uniform loop-carried dependences. In this paper, we present a static scheduling scheme with an accompanying synchronization strategy that can execute such DOACROSS loops effectively and efficiently. Our approach uses one of the parallelization techniques called Dependence Uniformization, which finds a small set of uniform dependen...

Abstracting Path Conditions for Effective Symbolic Execution

ing Path Conditions for Effective Symbolic Execution Marek Trt́ık [email protected]