A Closed-Form Execution Strategy to Target Volume Weighted Average Price

DOI10.1137/16M1058406zbMath1408.91192OpenAlexW3123296813MaRDI QIDQ2832615

Álvaro Cartea, Sebastian Jaimungal

Publication date: 11 November 2016

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/16m1058406

zbMATH Keywords

POVhigh-frequency tradingacquisitionalgorithmic tradingliquidationTWAPVWAP

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Portfolio theory (91G10)

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