Fast and precautious: order controls for trade execution

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

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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 ow