Using Short-Term Predictions for Participation-Rate Driven Trading Algorithms

20 Pages Posted: 2 Dec 2012 Last revised: 16 Apr 2013

See all articles by Ngoc-Minh Dang

Ngoc-Minh Dang

HSBC; JVN Institute, VNU-HCM

Charles-Albert Lehalle

Capital Fund Management; CFM-Imperial College Institute of Quantitative Finance

Date Written: December 1, 2012

Abstract

We propose a decomposition of algorithm’s a priori performance, from which we sep- arate contributions came from different factors. We show that, in combining estimations on volume and price and always taking into account the price-impact effect, one is able to optimize the execution in a sequential manner, which we refer to as on-line optimization. We illustrate the ability to adapt to real execution context, respect algorithm’s constraint and achieve better performance of the proposed method in the optimal execution problem.

Keywords: optimal liquidation, on-line optimization, VWAP, IS, PVOL, slippage

Suggested Citation

Dang, Ngoc-Minh and Lehalle, Charles-Albert, Using Short-Term Predictions for Participation-Rate Driven Trading Algorithms (December 1, 2012). Available at SSRN: https://ssrn.com/abstract=2183682 or http://dx.doi.org/10.2139/ssrn.2183682

Ngoc-Minh Dang (Contact Author)

HSBC ( email )

1 Queen's Road Central
Hong Kong
Hong Kong

JVN Institute, VNU-HCM ( email )

Linh Trung ward, Thu Duc district
Ho Chi Minh, 10001
Vietnam

HOME PAGE: http://sites.google.com/site/nmdang/

Charles-Albert Lehalle

Capital Fund Management ( email )

23/25, rue de l'Université
Paris, 75007
France

HOME PAGE: http://https://www.cfm.fr/en/

CFM-Imperial College Institute of Quantitative Finance ( email )

South Kensington Campus
Imperial College
LONDON, SW7 2AZ
United Kingdom

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