Optimal Execution in an Evolutionary Setting

Ryosuke Ishii (ishii@e01.mbox.media.kyoto-u.ac.jp)
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Ryosuke Ishii: Institute of Economic Research, Hitotsubashi University

No 670, KIER Working Papers from Kyoto University, Institute of Economic Research

Abstract: We consider the dynamic trading strategies that minimize the expected cost of trading a large block of securities over a fixed finite number of periods. We obtain the result in which the institutional investor sells more stocks in early stages when we introduce the conjectures about the others' actions o¤ the equilibrium path that is identical to the ones on the equilibrium path, compared to the outcome in the normal setting.

Date: 2009-03
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