Optimal Execution Trajectories. Linear Market Impact with Exponential Decay

Igor Skachkov

Papers from arXiv.org

Abstract: Optimal execution of portfolio transactions is the essential part of algorithmic trading. In this paper we present in simple analytical form the optimal trajectory for risk-averse trader with the assumption of exponential market recovery and short-time investment horizon.

Date: 2013-09
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1309.6725

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