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Optimality of VWAP Execution Strategies under General Shaped Market Impact Functions

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  • Takashi Kato

Abstract

In this short note, we study an optimization problem of expected implementation shortfall (IS) cost under general shaped market impact functions. In particular, we find that an optimal strategy is a VWAP (volume weighted average price) execution strategy when the market model is a Black-Scholes type with stochastic clock and market trading volume is large.

Suggested Citation

  • Takashi Kato, 2016. "Optimality of VWAP Execution Strategies under General Shaped Market Impact Functions," Papers 1605.03683, arXiv.org, revised May 2016.
    • Handle: RePEc:arx:papers:1605.03683
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    File URL: http://arxiv.org/pdf/1605.03683
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    Cited by:

    1. Takashi Kato, 2017. "An Optimal Execution Problem in the Volume-Dependent Almgren-Chriss Model," Papers 1701.08972, arXiv.org, revised Aug 2017.

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