Optimal algorithms for trading large positions

DOI10.1016/J.AUTOMATICA.2012.04.011zbMATH Open1246.93127OpenAlexW2012709667MaRDI QIDQ445966FDOQ445966

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

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zbMATH Keywords

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

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Cites Work

• Optimal stock liquidation in a regime switching model with finite time horizon
• Optimal execution with nonlinear impact functions and trading-enhanced risk
• Liquidation of a large block of stock with regime switching
• Title not available (Why is that?)

Cited In (8)

• 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
• Optimal control of trading algorithms: a general impulse control approach
• Optimal split of orders across liquidity pools: a stochastic algorithm approach
• Optimal execution of a VWAP order: a stochastic control approach
• Efficient trading frontier: a shortage function approach
• Stochastic control for optimal execution: fast approximation solution scheme under nested mean-semi deviation and conditional value at risk

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