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Optimal Execution in an Evolutionary Setting

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  • Ryosuke Ishii

    (Institute of Economic Research, Hitotsubashi University)

Abstract

We consider the dynamic trading strategies that minimize the expected cost of trading a large block of securities over a fixed finite number of periods. We obtain the result in which the institutional investor sells more stocks in early stages when we introduce the conjectures about the others' actions o¤ the equilibrium path that is identical to the ones on the equilibrium path, compared to the outcome in the normal setting.

Suggested Citation

  • Ryosuke Ishii, 2009. "Optimal Execution in an Evolutionary Setting," KIER Working Papers 670, Kyoto University, Institute of Economic Research.
    • Handle: RePEc:kyo:wpaper:670
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    File URL: http://www.kier.kyoto-u.ac.jp/DP/DP670.pdf
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    References listed on IDEAS

    as
    1. Ryosuke Ishii, 2008. "Optimal Execution in a Market with Small Investors," KIER Working Papers 653, Kyoto University, Institute of Economic Research.
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    8. Obizhaeva, Anna A. & Wang, Jiang, 2013. "Optimal trading strategy and supply/demand dynamics," Journal of Financial Markets, Elsevier, vol. 16(1), pages 1-32.
    9. Donald B. Keim & Ananth Madhavan, "undated". "The Cost of Institutional Equity Trades," Rodney L. White Center for Financial Research Working Papers 08-98, Wharton School Rodney L. White Center for Financial Research.
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