Optimal execution in Hong Kong given a market-on-close benchmark

DOI10.1080/14697688.2017.1334126zbMATH Open1400.91540OpenAlexW3124314539MaRDI QIDQ4554447FDOQ4554447

Authors: Christoph Frei, Nicholas Westray 

Publication date: 14 November 2018

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

Full work available at URL: https://doi.org/10.1080/14697688.2017.1334126

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zbMATH Keywords

algorithmic tradingoptimal trade executionHong Kong exchangemedian benchmark

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Title not available (Why is that?)
• Fluctuations and response in financial markets: the subtle nature of `random' price changes
• Optimal posting price of limit orders: learning by trading
• Optimal trading with stochastic liquidity and volatility
• Optimal execution of a VWAP order: a stochastic control approach
• Algorithmic and high-frequency trading
• Optimal split of orders across liquidity pools: a stochastic algorithm approach
• A closed-form execution strategy to target volume weighted average price
• OR forum: The cost of latency in high-frequency trading
• Selecting the Median
• The financial mathematics of market liquidity. From optimal execution to market making
• VWAP execution and guaranteed VWAP

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