Optimal execution of a VWAP order: a stochastic control approach

DOI10.1111/MAFI.12048MaRDI QIDQ5262522zbMATH OpenOpenAlexFDO

Authors Christoph Frei, Nicholas Westray

Publication date 15 July 2015

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/mafi.12048

zbMATH Keywords

HJB equationoptimal trade executionVWAPgamma bridge

Mathematics Subject Classification ID

Portfolio theory (91G10) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 3193288 (Why is no real title available?)
• A Characterization of the Gamma Distribution
• A PROBABILITY THEORY OF A DAM WITH A CONTINUOUS RELEASE
• A parallel between Brownian bridges and gamma bridges
• Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation
• No-dynamic-arbitrage and market impact
• OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
• Optimal trading with stochastic liquidity and volatility

Cited in

(29)

• Optimal trading and competition with information in the price impact model
• Curve following in illiquid markets
• Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications
• Optimal Execution: A Review
• VWAP execution as an optimal strategy
• Linear quadratic stochastic control problems with stochastic terminal constraint
• Equilibrium effects of intraday order-splitting benchmarks
• An optimal execution problem in the volume-dependent Almgren-Chriss model
• Hedging with temporary price impact
• Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics
• Optimal solution of the liquidation problem under execution and price impact risks
• Optimal control of trading algorithms: a general impulse control approach
• Generalized stochastic target problems for pricing and partial hedging under loss constraints -- application in optimal book liquidation
• Optimal execution in Hong Kong given a market-on-close benchmark
• Algorithmic trading, stochastic control, and mutually exciting processes
• VWAP execution and guaranteed VWAP
• Optimal algorithms for trading large positions
• Incorporating order-flow into optimal execution
• Optimal split of orders across liquidity pools: a stochastic algorithm approach
• Optimal execution with uncertain order fills in Almgren-Chriss framework
• Stochastic control for optimal execution: fast approximation solution scheme under nested mean-semi deviation and conditional value at risk
• Strategic Execution Trajectories
• Temporal mixture ensemble models for probabilistic forecasting of intraday cryptocurrency volume
• Optimal trade execution under stochastic volatility and liquidity
• A class of optimal liquidation problem with a nonlinear temporary market impact
• A Hamilton-Jacobi-Bellman approach to optimal trade execution
• Optimization and statistical methods for high frequency finance
• A closed-form execution strategy to target volume weighted average price
• A sample-path approach to optimal position liquidation

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