A model for optimal execution of atomic orders

DOI10.1007/S10589-009-9245-6zbMATH Open1190.90210OpenAlexW2154027072MaRDI QIDQ975353FDOQ975353

Miles Kumaresan, Nataša Krejić

Publication date: 9 June 2010

Published in: Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10589-009-9245-6

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zbMATH Keywords

nonlinear programmingconvex programmingalgorithmic tradingoptimal execution strategy

Mathematics Subject Classification ID

Convex programming (90C25) Nonlinear programming (90C30)

Cites Work

• Introduction to Stochastic Programming
• Optimal execution with nonlinear impact functions and trading-enhanced risk

Cited In (5)

• Negative selection -- a new performance measure for automated order execution
• Optimal Order Scheduling for Deterministic Liquidity Patterns
• VaR optimal portfolio with transaction costs
• Models for bundle trading in financial markets
• Optimal trading of algorithmic orders in a liquidity fragmented market place

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