منابع مشابه
Optimal control of execution costs
We derive dynamic optimal trading strategies that minimize the expected cost of trading a large block of equity over a fixed time horizon. Specifically, given a fixed block SM of shares to be executed within a fixed finite number of periods 1, and given a price-impact function that yields the execution price of an individual trade as a function of the shares traded and market conditions, we obt...
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We derive dynamic optimal trading strategies that minimize the expected cost of trading blocks of securities over a xed time horizon. Given xed blocks si of shares of stock i to be traded within a nite number of periods T , i = 1; : : : ; n, and given price-impact functions that yield the execution price of an individual trade as a function of the shares of stock i traded and current market con...
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We consider the so-called “optimal execution problem” in algorithmic trading, which is the problem faced by an investor who has a large number of stock shares to sell over a given time horizon and whose actions have impact on the stock price. In particular, we develop and study a price model that presents the stochastic dynamics of a geometric Brownian motion and incorporates a log-linear effec...
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Optimal control entails combining probabilities and utilities. However, for most practical problems, probability densities can be represented only approximately. Choosing an approximation requires balancing the benefits of an accurate approximation against the costs of computing it. We propose a variational framework for achieving this balance and apply it to the problem of how a neural populat...
متن کاملNYSE Execution Costs
This paper uses unique audit trail data to evaluate execution costs and price impact for all NYSE order types: system orders as well as all types of floor orders. Almost 50 percent of market order volume and floor broker volume in the sample receives price improvement. Prices move significantly in the direction of the trade before the execution of ITS orders, marketable limit orders, and floor ...
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ژورنال
عنوان ژورنال: Journal of Financial Markets
سال: 1998
ISSN: 1386-4181
DOI: 10.1016/s1386-4181(97)00012-8