Bond execution models
While research on the optimal execution of equity trading has become popular, a study of this kind has not yet been done with regard to the bond market. In this article, Koichi Miyazaki presents a bond execution model that incorporates the strong correlation between bonds and the nature of cross-impacts. He clarifies the bond-specific nature through a numerical example involving the trade-off between the cost and risk associated with the execution of bond portfolios, and also presents an estimation technique
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