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...

书目详细资料
Main Authors:	Cartea, A, Jaimungal, S
格式:	Journal article
出版:	Springer Berlin Heidelberg 2016

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