We develop and evaluate a trading utility function driven by Implementation Shortfall framework. The function balances between execution risk, market impact, and return expectations. A novel, conforming to empirical results, definition is provided for the market impact component. The formulas are parameterized by volume-time argument facilitating optimization of VWAP based trading strategies
We make several improvements to the mean-variance framework for optimal pre-trade algorithmic execut...
International audienceIf optimal liquidation using VWAP strategies has been considered in the litera...
This paper examines the role of algorithmic trading in modern financial markets. Additionally, order...
© 2013 Wiley Periodicals, Inc. Execution traders know that market impact greatly depends on whether ...
We provide two explicit closed-form optimal execution strategies to target VWAP. We do this under ve...
We develop a theory for the market impact of large trading orders, which we call metaorders because ...
Trading large volumes of a nancial asset in order driven markets requires the use of algorithmic ex...
none2Trading large volumes of a financial asset in order driven markets requires the use of algorith...
Algorithmic trading is one of the most phenomenal changes in the financial industry in the past dec...
We provide an explicit closed-form strategy for an investor who executes a large order when market o...
In today's competitive business environment, strategies relating to market forecasting, decision mak...
We study an optimal execution problem in a continuous-time market model that considers market impact...
Optimal execution of large orders is examined within the technical framework of High-Frequency Tradi...
In the seminal paper on optimal execution of portfolio transactions, Almgren and Chriss (2001) defin...
We study optimal liquidity trading in a framework where trade size has a price impact. A liquidity t...
We make several improvements to the mean-variance framework for optimal pre-trade algorithmic execut...
International audienceIf optimal liquidation using VWAP strategies has been considered in the litera...
This paper examines the role of algorithmic trading in modern financial markets. Additionally, order...
© 2013 Wiley Periodicals, Inc. Execution traders know that market impact greatly depends on whether ...
We provide two explicit closed-form optimal execution strategies to target VWAP. We do this under ve...
We develop a theory for the market impact of large trading orders, which we call metaorders because ...
Trading large volumes of a nancial asset in order driven markets requires the use of algorithmic ex...
none2Trading large volumes of a financial asset in order driven markets requires the use of algorith...
Algorithmic trading is one of the most phenomenal changes in the financial industry in the past dec...
We provide an explicit closed-form strategy for an investor who executes a large order when market o...
In today's competitive business environment, strategies relating to market forecasting, decision mak...
We study an optimal execution problem in a continuous-time market model that considers market impact...
Optimal execution of large orders is examined within the technical framework of High-Frequency Tradi...
In the seminal paper on optimal execution of portfolio transactions, Almgren and Chriss (2001) defin...
We study optimal liquidity trading in a framework where trade size has a price impact. A liquidity t...
We make several improvements to the mean-variance framework for optimal pre-trade algorithmic execut...
International audienceIf optimal liquidation using VWAP strategies has been considered in the litera...
This paper examines the role of algorithmic trading in modern financial markets. Additionally, order...
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