Abstract

http://ssrn.com/abstract=2034178
 
 

Citations (6)



 


 



Dynamical Models of Market Impact and Algorithms for Order Execution


Jim Gatheral


Baruch College, CUNY

Alexander Schied


University of Mannheim

January 24, 2013

HANDBOOK ON SYSTEMIC RISK, Jean-Pierre Fouque, Joseph A. Langsam, eds., pp. 579-599, Cambridge, 2013

Abstract:     
In this review article, we present recent work on the regularity of dynamical market impact models and their associated optimal order execution strategies. In particular, we address the question of the stability and existence of optimal strategies, showing that in a large class of models, there is price manipulation and no well-behaved optimal order execution strategy. We also address issues arising from the use of dark pools and predatory trading.

Number of Pages in PDF File: 23

Keywords: Market impact model, optimal order execution, algorithmic trading, price manipulation, transaction-triggered price manipulation

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Date posted: April 5, 2012 ; Last revised: September 4, 2013

Suggested Citation

Gatheral, Jim and Schied, Alexander, Dynamical Models of Market Impact and Algorithms for Order Execution (January 24, 2013). HANDBOOK ON SYSTEMIC RISK, Jean-Pierre Fouque, Joseph A. Langsam, eds., pp. 579-599, Cambridge, 2013. Available at SSRN: http://ssrn.com/abstract=2034178 or http://dx.doi.org/10.2139/ssrn.2034178

Contact Information

Jim Gatheral
Baruch College, CUNY ( email )
Department of Mathematics
One Bernard Baruch Way
New York, NY 10010
United States
Alexander Schied (Contact Author)
University of Mannheim ( email )
Department of Mathematics
A 5, 6
Mannheim, 68131
Germany
+49-621-181-2513 (Phone)
HOME PAGE: http://www.alexschied.de/
Feedback to SSRN


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