Journal article
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...
Expand abstract
- Publication status:
- Published
- Peer review status:
- Peer reviewed
Actions
Access Document
- Files:
-
-
(Accepted manuscript, pdf, 1.9MB)
-
- Publisher copy:
- 10.1137/16M1058406
Why is the content I wish to access not available via ORA?
Bibliographic data (the information relating to research outputs) and full-text items (e.g. articles, theses, reports, etc.) arrive in ORA from several different sources. Unfortunately we are not able to make available the full-text for every research output.
Please contact the ORA team (
) if you have queries regarding unavailable content OR if you are aware of a full-text copy we can make available.
) if you have queries regarding unavailable content OR if you are aware of a full-text copy we can make available.
Content may be unavailable for the following four reasons
-
Version unsuitable
-
We have not obtained a suitable full-text for a given research output. See this page for more information.
-
Recently completed
-
Sometimes content is held in ORA but is unavailable for a fixed period of time to comply with the policies and wishes of rights holders.
-
Permissions
-
All content made available in ORA should comply with relevant rights, such as copyright. See this page for more information.
-
Clearance
-
Some thesis volumes scanned as part of the digitisation scheme funded by Dr Leonard Polonsky are currently unavailable due to sensitive material or uncleared third-party copyright content. We are attempting to contact authors whose theses are affected.
Alternative access to the full-text
You may be able to access the full-text directly from the publisher's website using the 'Publisher Copy' link in the 'Links & Downloads' box from a research output's ORA record page. This method may require an institutional or individual subscription to the journal/resource.
Authors
Bibliographic Details
- 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
- Source identifiers:
-
641135
Item Description
- Keywords:
- Pubs id:
-
pubs:641135
- UUID:
-
uuid:b68272ca-a941-4d48-a87a-d06963482db9
- Local pid:
- pubs:641135
- Deposit date:
- 2016-09-01
Terms of use
- 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].
If you are the owner of this record, you can report an update to it here: Report update to this record