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A closed-form execution strategy to target VWAP

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...

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Publication status:
Published
Peer review status:
Peer reviewed
Version:
Accepted manuscript

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Publisher copy:
10.1137/16M1058406

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Department:
Oxford, MPLS, Mathematical Institute
Jaimungal, S More by this author
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

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