Incorporating Order-Flow into Optimal Execution

Optimal Execution with Dynamic Order Flow Imbalance

We examine optimal execution models that take into account both market microstructure impact and informational costs. Informational footprint is related to order flow and is represented by the trader’s influence on the flow imbalance process, while microstructure influence is captured by instantaneous price impact. We propose a continuous-time stochastic control problem that balances between th...

Incorporating Optimal Communication Scheduling into DSP Applications

While research on the static scheduling of computational tasks for parallel systems has been ongoing for years, most work does not consider the communication costs nor does it consider the network congestion. A new static scheduling technique is presented which focuses on the communication overhead inherent in parallel processing systems. This paper builds a framework based on a newly developed...

Optimal trade execution of equities in a limit order market

Numerical methods for an optimal order execution problem

This paper deals with numerical solutions to an impulse control problem arising from optimal portfolio liquidation with bid-ask spread and market price impact penalizing speedy execution trades. The corresponding dynamic programming (DP) equation is a quasi-variational inequality (QVI) with solvency constraint satisfied by the value function in the sense of constrained viscosity solutions. By t...

Optimal Execution in a General One-Sided Limit-Order Book

We construct an optimal execution strategy for the purchase of a large number of shares of a financial asset over a fixed interval of time. Purchases of the asset have a nonlinear impact on price, and this is moderated over time by resilience in the limit-order book that determines the price. The limit-order book is permitted to have arbitrary shape. The form of the optimal execution strategy i...