Optimal algorithms for trading large positions

DOI10.1016/J.AUTOMATICA.2012.04.011MaRDI QIDQ445966zbMATH OpenOpenAlexFDO

Authors Moustapha Pemy

Publication date 27 August 2012

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.automatica.2012.04.011

zbMATH Keywords

algorithmic tradingdiscrete-time stochastic optimal controlselling rulesvolume-weighted average price (VWAP)

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 2133115 (Why is no real title available?)
• Liquidation of a large block of stock with regime switching
• Optimal execution with nonlinear impact functions and trading-enhanced risk
• Optimal stock liquidation in a regime switching model with finite time horizon

Cited in

(10)

• Stochastic control for optimal execution: fast approximation solution scheme under nested mean-semi deviation and conditional value at risk
• An efficient algorithm for the optimal market timing over two stocks
• Block trading: building up a stock position under a regime switching model
• Maximal trades
• Efficient trading frontier: a shortage function approach
• Optimal control of trading algorithms: a general impulse control approach
• Optimal execution of a VWAP order: a stochastic control approach
• Optimal split of orders across liquidity pools: a stochastic algorithm approach
• Trading under the proof‐of‐stake protocol – A continuous‐time control approach
• Execution shortfall algorithms under regime switching

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