OPTIMAL EXECUTION HORIZON

DOI10.1111/MAFI.12045MaRDI QIDQ5262523zbMATH OpenOpenAlexFDO

Authors Marcos López de Prado, Maureen O'Hara, David A. Easley

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.12045

zbMATH Keywords

adverse selectionmarket microstructureliquidityVWAPprobability of informed tradingbrokerflow toxicityOEHVPIN

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• A Hamilton-Jacobi-Bellman approach to optimal trade execution
• OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
• Optimal execution with nonlinear impact functions and trading-enhanced risk
• Optimal liquidation in dark pools
• Optimal stock selling/buying strategy with reference to the ultimate average
• Optimal trade execution in illiquid markets
• Predicting equity liquidity
• Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets

Cited in

(3)

• Negative selection -- a new performance measure for automated order execution
• Minimizing the Expected Market Time to Reach a Certain Wealth Level
• Optimal execution with dynamic order flow imbalance

Describes a project that uses

Uses Software

• Python

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