Fast and Precautious: Order Controls for Trade Execution
12 Pages Posted: 4 Jun 2017
Date Written: April 5, 2017
Controlling the speed and direction of trades becomes increasingly important to algorithmic trading desks. Brian Bulthuis, Julio Concha, Tim Leung and Brian Ward propose a new optimal execution algorithm with both limit and market orders. An optimal strategy is derived analytically and illustrated numerically.
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