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On the design of sell-side limit and market order tactics

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  • Vladimir Markov

Abstract

This article provides a novel framework to evaluate limit order tactics that highlights expected fill price, adverse price selection cost, and opportunity cost. We formulate the problem of optimal execution of market orders with nonlinear market impact, power law decay kernel, and stochastic and deterministic liquidity constraints. We demonstrate how these tactics can be incorporated in the uncertainty bands framework.

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  • Vladimir Markov, 2014. "On the design of sell-side limit and market order tactics," Papers 1409.1442, arXiv.org.
    • Handle: RePEc:arx:papers:1409.1442
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    References listed on IDEAS

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    1. Hasbrouck, Joel, 2007. "Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading," OUP Catalogue, Oxford University Press, number 9780195301649.
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    Cited by:

    1. Timoth'ee Fabre & Vincent Ragel, 2023. "Interpretable ML for High-Frequency Execution," Papers 2307.04863, arXiv.org, revised Sep 2024.

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