Fast and Precautious: Order Controls for Trade Execution

RISK Magazine, April Issue, 2017 https://www.risk.net/asset-management/4682041/fast-and-precautious-order-controls-for-trade-execution

Posted: 4 Jun 2017

See all articles by Brian Bulthuis

Brian Bulthuis

KCG Holdings Inc.

Julio Concha

KCG Holdings Inc.

Tim Leung

University of Washington - Department of Applied Math

Brian Ward

Columbia University

Date Written: April 5, 2017

Abstract

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.

Suggested Citation

Bulthuis, Brian and Concha, Julio and Leung, Tim and Ward, Brian, Fast and Precautious: Order Controls for Trade Execution (April 5, 2017). RISK Magazine, April Issue, 2017 https://www.risk.net/asset-management/4682041/fast-and-precautious-order-controls-for-trade-execution, Available at SSRN: https://ssrn.com/abstract=3335529 or http://dx.doi.org/10.2139/ssrn.2977667

Brian Bulthuis

KCG Holdings Inc. ( email )

545 Washington Boulevard
Jersey City, NJ 07310
United States

Julio Concha

KCG Holdings Inc. ( email )

545 Washington Boulevard
Jersey City, NJ 07310
United States

Tim Leung (Contact Author)

University of Washington - Department of Applied Math ( email )

Lewis Hall 217
Department of Applied Math
Seattle, WA 98195
United States

HOME PAGE: http://faculty.washington.edu/timleung/

Brian Ward

Columbia University ( email )

New York, NY
United States

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