A model for optimal execution of atomic orders

DOI10.1007/s10589-009-9245-6zbMath1190.90210OpenAlexW2154027072MaRDI QIDQ975353

Miles Kumaresan, Nataša Krejić

Publication date: 9 June 2010

Published in: Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10589-009-9245-6

zbMATH Keywords

convex programmingnonlinear programmingalgorithmic tradingoptimal execution strategy

Mathematics Subject Classification ID

Convex programming (90C25) Nonlinear programming (90C30)

Related Items (3)

Negative selection -- a new performance measure for automated order execution ⋮ VaR optimal portfolio with transaction costs ⋮ Optimal trading of algorithmic orders in a liquidity fragmented market place

Cites Work

• Introduction to Stochastic Programming
• Optimal execution with nonlinear impact functions and trading-enhanced risk

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