Incorporating order-flow into optimal execution

Incorporating order-flow into optimal execution

We provide an explicit closed-form strategy for an investor who executes a large order when market order-flow from all agents, including the investor’s own trades, has a permanent price impact. The strategy is found in closed-form when the permanent and temporary price impacts are linear in the mark...

書誌詳細
主要な著者:	Cartea, A, Jaimungal, S
フォーマット:	Journal article
出版事項:	Springer Berlin Heidelberg 2016

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