Comment: The Optimal Price to Trade

Edward M. Miller

Journal of Financial and Quantitative Analysis, 1979, vol. 14, issue 3, 645-647

Abstract: In the September 1975 issue of this Journal Ben Branch works out in detail an “optimal” strategy for an investor seeking to purchase or sell a security. The suggested strategy involves placing limit orders at specified prices and then waiting for the order to be filled. Hypothetical calculations indicate the magnitude of savings possible through use of the strategy. Ben Branch apparently accepts the standard random walk model and develops his theory around it. If one believes that the value of a stock is a constant and that prices fluctuate randomly, the treatment seems correct.

Date: 1979
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