Optimal execution with a price limiter


CLICK HERE TO VIEW THE PDF An agent who aims to acquire (or liquidate) a large quantity of a given security by a specified time has to balance the negative effects trading quickly has on execution price against the negative effects trading slowly has on price uncertainty. That is, the agent aims to find an optimal execution rate to minimise (maximise) its costs (profit) while at the same time offsetting the risk of the trade.

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