- Abstract:
-
We provide two explicit closed-form optimal execution strategies to target VWAP. We do this under very general assumptions about the stochastic process followed by the volume traded in the market, and, unlike earlier studies, we account for permanent price impact stemming from order-flow of the agent and all other traders. One of the strategies consists of TWAP adjusted upward by a fraction of instantaneous order-flow and adjusted downward by the average order-flow that is expected over the r...
Expand abstract - Publication status:
- Published
- Peer review status:
- Peer reviewed
- Version:
- Accepted manuscript
- Files:
-
-
(pdf, 1.9mb)
-
- Publisher copy:
- 10.1137/16M1058406
-
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- Publisher:
- Society for Industrial and Applied Mathematics Publisher's website
- Journal:
- SIAM Journal on Financial Mathematics Journal website
- Volume:
- 7
- Issue:
- 1
- Pages:
- 760–785
- Publication date:
- 2016-11-08
- Acceptance date:
- 2016-08-17
- DOI:
- ISSN:
-
1945-497X
- Pubs id:
-
pubs:641135
- URN:
-
uri:b68272ca-a941-4d48-a87a-d06963482db9
- UUID:
-
uuid:b68272ca-a941-4d48-a87a-d06963482db9
- Local pid:
- pubs:641135
- Copyright holder:
- Society for Industrial and Applied Mathematics
- Copyright date:
- 2016
- Notes:
- © 2016, Society for Industrial and Applied Mathematics. This is the accepted manuscript version of the article. The final version is available online from SIAM at: [10.1137/16M1058406].
Journal article
A closed-form execution strategy to target VWAP
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