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Optimal Execution Of Trading Orders
2018
Zenodo
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.
doi:10.5281/zenodo.1220567
fatcat:pnauwdtyxbfbpchcazcw6qycle