Alexander Barzykin

HSBC FX eRisk, Global Markets, HSBC Bank Plc., UK

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Optimal VWAP Execution Under Transient Price Impact

Number of pages: 20 Posted: 28 May 2019
Alexander Barzykin and Fabrizio Lillo
HSBC FX eRisk, Global Markets, HSBC Bank Plc., UK and Università di Bologna
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Abstract:

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Optimal execution, Volume Weighted Average Price (VWAP), Transient price impact, Transaction costs, Market microstructure