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Optimal Execution Trajectories. Linear Market Impact with Exponential Decay

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  • Igor Skachkov

Abstract

Optimal execution of portfolio transactions is the essential part of algorithmic trading. In this paper we present in simple analytical form the optimal trajectory for risk-averse trader with the assumption of exponential market recovery and short-time investment horizon.

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  • Igor Skachkov, 2013. "Optimal Execution Trajectories. Linear Market Impact with Exponential Decay," Papers 1309.6725, arXiv.org.
    • Handle: RePEc:arx:papers:1309.6725
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    File URL: http://arxiv.org/pdf/1309.6725
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    References listed on IDEAS

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    1. Obizhaeva, Anna A. & Wang, Jiang, 2013. "Optimal trading strategy and supply/demand dynamics," Journal of Financial Markets, Elsevier, vol. 16(1), pages 1-32.
    2. Robert Almgren, 2003. "Optimal execution with nonlinear impact functions and trading-enhanced risk," Applied Mathematical Finance, Taylor & Francis Journals, vol. 10(1), pages 1-18.
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    Cited by:

    1. Zhao, Jingdong & Zhu, Hongliang & Li, Xindan, 2018. "Optimal execution with price impact under Cumulative Prospect Theory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1228-1237.

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