Modelling optimal execution strategies for Algorithmic trading

Virgil Damian
Additional contact information
Virgil Damian: Bucharest University of Economic Studies, Romania

Theoretical and Applied Economics, 2015, vol. XXII, issue 4(605), Winter, 99-104

Abstract: This paper is focused on the optimal execution of portfolio transactions considered as a stochastic optimal control problem. The main novelty of this work consists in a new methodology, introduced in Udrişte and Damian in 2011, for the stochastic optimal control problems, applied to Almgren and Chriss execution model. In addition to Udrişte (2015), this paper highlights our original ideas and certifies that the new above mentioned method is viable in this framework.

Keywords: optimal execution strategies; algorithmic trading; cost of trading; order book; stochastic optimal control; stochastic differential systems. (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://store.ectap.ro/articole/1134.pdf (application/pdf)
http://www.ectap.ro/articol.php?id=1134&rid=121 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:agr:journl:v:xxii:y:2015:i:4(605):p:99-104

Access Statistics for this article

Theoretical and Applied Economics is currently edited by Mircea Dinu

More articles in Theoretical and Applied Economics from Asociatia Generala a Economistilor din Romania / Editura Economica Contact information at EDIRC.
Bibliographic data for series maintained by Mircea Dinu ().