Applying regression techniques in designing optimal trade execution strategy for an asset

DOI10.1080/02331934.2020.1808642MaRDI QIDQ5070610zbMATH OpenOpenAlexFDO

Authors Ruchika Sehgal, Aparna Mehra

Publication date 13 April 2022

Published in Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331934.2020.1808642

zbMATH Keywords

optimal trade execution problemprice dynamics of an assetquadratic programming problemquantile regressionsupport vector quantile regression

Mathematics Subject Classification ID

Quadratic programming (90C20) Applications of mathematical programming (90C90)

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Cites work

• Efficient trading frontier: a shortage function approach
• scientific article; zbMATH DE number 5957364 (Why is no real title available?)
• Mean-variance optimal trading problem subject to stochastic dominance constraints with second order autoregressive price dynamics
• Optimal execution with weighted impact functions: a quadratic programming approach
• Optimal Liquidity Trading*
• Optimal trade execution and price manipulation in order books with time-varying liquidity
• OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
• Single asset optimal trading strategies with stochastic dominance constraints
• Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy

Cited in

(1)

• Multi-scale capability: a better approach to performance measurement for algorithmic trading

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