Applying regression techniques in designing optimal trade execution strategy for an asset

DOI10.1080/02331934.2020.1808642zbMath1490.90214OpenAlexW3080152874MaRDI QIDQ5070610

Ruchika Sehgal, Aparna Mehra

Publication date: 13 April 2022

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2020.1808642

zbMATH Keywords

quantile regressionquadratic programming problemsupport vector quantile regressionoptimal trade execution problemprice dynamics of an asset

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Quadratic programming (90C20)

Cites Work

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• Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy
• Single asset optimal trading strategies with stochastic dominance constraints
• Optimal execution with weighted impact functions: a quadratic programming approach
• Mean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics
• Efficient trading frontier: a shortage function approach
• OPTIMAL TRADE EXECUTION AND PRICE MANIPULATION IN ORDER BOOKS WITH TIME-VARYING LIQUIDITY
• OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
• Optimal Liquidity Trading*

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