OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH

DOI10.1111/mafi.12048zbMath1331.91163OpenAlexW1921068018MaRDI QIDQ5262522

Christoph Frei, Nicholas Westray

Publication date: 15 July 2015

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12048

zbMATH Keywords

HJB equationoptimal trade executionVWAPgamma bridge

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (15)

Equilibrium effects of intraday order-splitting benchmarks ⋮ Incorporating order-flow into optimal execution ⋮ Optimal execution in Hong Kong given a market-on-close benchmark ⋮ Multi-asset Optimal Execution and Statistical Arbitrage Strategies under Ornstein--Uhlenbeck Dynamics ⋮ Optimal solution of the liquidation problem under execution and price impact risks ⋮ Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes ⋮ Strategic Execution Trajectories ⋮ Linear Quadratic Stochastic Control Problems with Stochastic Terminal Constraint ⋮ A class of optimal liquidation problem with a nonlinear temporary market impact ⋮ Hedging with temporary price impact ⋮ Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications ⋮ Temporal mixture ensemble models for probabilistic forecasting of intraday cryptocurrency volume ⋮ A Closed-Form Execution Strategy to Target Volume Weighted Average Price ⋮ VWAP execution as an optimal strategy ⋮ Optimal Execution: A Review

Cites Work

• Unnamed Item
• A parallel between Brownian bridges and gamma bridges
• Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation
• No-dynamic-arbitrage and market impact
• OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
• A PROBABILITY THEORY OF A DAM WITH A CONTINUOUS RELEASE
• Optimal Trading with Stochastic Liquidity and Volatility
• Dam rain and cumulative gain
• A Characterization of the Gamma Distribution

This page was built for publication: OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH