Optimal Execution considering Trading Signal and Execution Risk Simultaneously
نویسندگان
چکیده
منابع مشابه
Optimal Execution with Nonlinear Impact Functions and Trading-Enhanced Risk
We determine optimal trading strategies for liquidation of a large single-asset portfolio to minimize a combination of volatility risk and market impact costs. We take the market impact cost per share to be a power law function of the trading rate, with an arbitrary positive exponent. This includes, for example, the square-root law that has been proposed based on market microstructure theory. I...
متن کاملSpecification and execution of composite trading activities
With the growing number of trading opportunities available online, software tools designedto act on behalf of human traders are increasingly being used to automate trading activities.The next logical step in this evolution is the automation of composite trading activities designedto fulfill complex user goals and requirements. In this paper, we describe a model for specify-i...
متن کاملOptimal program execution reversal
For adjoint calculations, debugging, and similar purposes one may need to reverse the execution of a computer program. The simplest option of recording a complete execution log and then reading it backwards requires massive amounts of storage. Instead one may generate the execution log piecewise by restarting the “forward” calculation repeatedly from suitably placed checkpoints. Our goal is to ...
متن کاملOptimal Portfolio Liquidation with Execution Cost and Risk
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in contrast with previous related papers (see e.g. [28] and [29]), we do not assume continuous-time trading strategies. We consider instead real trading that occur...
متن کاملEager Execution : An Optimal Form of Speculative Execution
Three papers will be discussed in this section: Effective Compiler Support for Predicated Execution Using the Hyperblock, by Mahlke et al.; Disjoint Eager Execution: An Optimal Form of Speculative Execution, by Uht and Singdagi; and Selective Eager Execution on the Poly Path Architecture, by Klauser, Paithankar and Grunwald. These papers will close out the “processor front-end” section of the c...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Mathematical Problems in Engineering
سال: 2021
ISSN: 1563-5147,1024-123X
DOI: 10.1155/2021/5514413