On the design of sell-side limit and market order tactics

Vladimir Markov

Papers from arXiv.org

Abstract: This article provides a novel framework to evaluate limit order tactics that highlights expected fill price, adverse price selection cost, and opportunity cost. We formulate the problem of optimal execution of market orders with nonlinear market impact, power law decay kernel, and stochastic and deterministic liquidity constraints. We demonstrate how these tactics can be incorporated in the uncertainty bands framework.

Date: 2014-09
New Economics Papers: this item is included in nep-ger and nep-mst
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Citations: View citations in EconPapers (1)

Published in The Journal of Trading, Summer 2012, Vol. 7, No. 3: pp. 29-39

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