Adaptive Arrival Price
نویسندگان
چکیده
Electronic trading of equities and other securities makes heavy use of “arrival price” algorithms, that determine optimal trade schedules by balancing the market impact cost of rapid execution against the volatility risk of slow execution. In the standard formulation, mean-variance optimal strategies are static: they do not modify the execution speed in response to price motions observed during trading. We show that with a more realistic formulation of the mean-variance tradeoff, and even with no momentum or mean reversion in the price process, substantial improvements are possible for adaptive strategies that spend trading gains to reduce risk, by accelerating execution when the price moves in the trader’s favor. The improvement is larger for large initial positions. ∗Electronic Trading Services, Banc of America Securities LLC, New York; [email protected]. ∗∗Institute of Theoretical Computer Science, ETH Zürich; [email protected]. Partially supported by UBS AG.
منابع مشابه
The Dynamics of Price, Revenue, and System Utilization
Content delivery is a growing enterprise in the Internet. Critical to the management of content delivery systems is understanding customer behavior, its impact on the consumption of system resources and how together, these affect revenue. We believe that price dictates overall customer behavior and that understanding the relationship between price and customer behavior is the key to effective s...
متن کاملForecasting Energy Price and Consumption for Iranian Industrial Sectors Using ANN and ANFIS
Forecasting energy price and consumption is essential in making effective managerial decisions and plans. While there are many sophisticated mathematical methods developed so far to forecast, some nature-based intelligent algorithms with desired characteristics have been developed recently. The main objective of this research is short term forecasting of energy price and consumption in Iranian ...
متن کاملMean-Variance Optimal Adaptive Execution
Electronic trading of equities and other securities makes heavy use of “arrival price” algorithms, that balance the market impact cost of rapid execution against the volatility risk of slow execution. In the standard formulation, mean-variance optimal trading strategies are static: they do not modify the execution speed in response to price motions observed during trading. We show that substant...
متن کاملLearning about the arrival of sales
We analyse optimal stopping when the economic environment changes because of learning. A primary application is optimal selling of an asset when demand is uncertain. The seller learns about the arrival rate of buyers. As time passes without a sale, the seller becomes more pessimistic about the arrival rate. When the arrival of buyers is not observed, the rate at which the seller revises her bel...
متن کاملComparison of autoregressive integrated moving average (ARIMA) model and adaptive neuro-fuzzy inference system (ANFIS) model
Proper models for prediction of time series data can be an advantage in making important decisions. In this study, we tried with the comparison between one of the most useful classic models of economic evaluation, auto-regressive integrated moving average model and one of the most useful artificial intelligence models, adaptive neuro-fuzzy inference system (ANFIS), investigate modeling procedur...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2006