Optimal Execution in an Evolutionary Setting
Ryosuke Ishii ()
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Ryosuke Ishii: Institute of Economic Research, Hitotsubashi University
No 670, KIER Working Papers from Kyoto University, Institute of Economic Research
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.
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