Optimal Execution Of Trading Orders

Simon Kogan, Richard Knight
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