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Calibration of optimal execution of financial transactions in the presence of transient market impact
Calibration financial transactions market
2012/9/14
Trading large volumes of a nancial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A ...
Optimal execution of Portfolio transactions with geometric price process
Optimal execution Portfolio geometric price process
2010/11/2
In this paper we derive the Markowitz-optimal, deterministic-execution trajectory for a trader who wishes to buy or sell a large position of a share which evolves as a geometric Brownian
motion in co...