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

DOI10.1080/14697688.2017.1334126MaRDI QIDQ4554447zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

algorithmic tradingoptimal trade executionHong Kong exchangemedian benchmark

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 2107836 (Why is no real title available?)
• A closed-form execution strategy to target volume weighted average price
• Algorithmic and high-frequency trading
• Fluctuations and response in financial markets: the subtle nature of `random' price changes
• OR forum: The cost of latency in high-frequency trading
• Optimal execution of a VWAP order: a stochastic control approach
• Optimal posting price of limit orders: learning by trading
• Optimal split of orders across liquidity pools: a stochastic algorithm approach
• Optimal trading with stochastic liquidity and volatility
• Selecting the Median
• The financial mathematics of market liquidity. From optimal execution to market making
• VWAP execution and guaranteed VWAP

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