Fast and precautious: order controls for trade execution

Algo traders propose a new optimal execution algorithm with both limit and market orders


Controlling the speed and direction of trades is becoming increasingly important for algorithmic trading desks. Brian Bulthuis, Julio Concha, Tim Leung and Brian Ward propose a new optimal execution algorithm with both limit and market orders. An optimal strategy is derived analytically and illustrated numerically

In the US market, institutional investors own or manage a major share of public equities.11In 2010, about 67% of the US equity market capitalisation was

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