A closed-form execution strategy to target VWAP
We provide two explicit closed-form optimal execution strategies to target VWAP. We do this under very general assumptions about the stochastic process followed by the volume traded in the market, and, unlike earlier studies, we account for permanent price impact stemming from order-flow of the agen...
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| Formaat: | Journal article |
| Gepubliceerd in: |
Society for Industrial and Applied Mathematics
2016
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