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...
| Κύριοι συγγραφείς: | , |
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| Μορφή: | Journal article |
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Springer Berlin Heidelberg
2016
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