OPTIMAL EXECUTION HORIZON

DOI10.1111/mafi.12045zbMath1331.91161OpenAlexW2763785538MaRDI QIDQ5262523

Marcos López de Prado, Maureen O'Hara, David A. Easley

Publication date: 15 July 2015

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12045

zbMATH Keywords

adverse selectionliquiditymarket microstructureVWAPprobability of informed tradingbrokerflow toxicityOEHVPIN

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Microeconomic theory (price theory and economic markets) (91B24) Portfolio theory (91G10)

Related Items (1)

Optimal Execution with Dynamic Order Flow Imbalance

Uses Software

• Python

Cites Work

• A Hamilton-Jacobi-Bellman approach to optimal trade execution
• Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets
• OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
• OPTIMAL TRADE EXECUTION IN ILLIQUID MARKETS
• Predicting Equity Liquidity
• Optimal execution with nonlinear impact functions and trading-enhanced risk
• OPTIMAL STOCK SELLING/BUYING STRATEGY WITH REFERENCE TO THE ULTIMATE AVERAGE
• Optimal liquidation in dark pools

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