Journal article
Incorporating order-flow into optimal execution
- Abstract:
-
We provide an explicit closed-form strategy for an investor who executes a large order when market order-flow from all agents, including the investor’s own trades, has a permanent price impact. The strategy is found in closed-form when the permanent and temporary price impacts are linear in the market’s and investor’s rates of trading. We do this under very general assumptions about the stochastic process followed by the order-flow of the market. The optimal strategy consists of an Almgren–Ch...
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- Publication status:
- Published
- Peer review status:
- Peer reviewed
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Authors
Bibliographic Details
- Publisher:
- Springer Berlin Heidelberg Publisher's website
- Journal:
- Mathematics and Financial Economics Journal website
- Volume:
- 10
- Issue:
- 3
- Pages:
- 339–364
- Publication date:
- 2016-02-18
- Acceptance date:
- 2016-02-08
- DOI:
- ISSN:
-
1862-9660 and 1862-9679
Item Description
- Keywords:
- Pubs id:
-
pubs:624668
- UUID:
-
uuid:88a23aea-ceb6-4bb0-8b59-fd594d8db92c
- Local pid:
- pubs:624668
- Deposit date:
- 2016-09-01
Terms of use
- Copyright holder:
- Springer-Verlag Berlin Heidelberg
- Copyright date:
- 2016
- Notes:
- © Springer-Verlag Berlin Heidelberg 2016. This is the accepted manuscript version of the article. The final version is available online from Springer at: http://dx.doi.org/10.1007/s11579-016-0162-z
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