New local centre aims to channel orders in bulk, cutting price slippage
Risk Awards 2019: Quant uses new tech to tackle old problem of optimal execution
A liquidity model for basket of correlated securities is presented
This paper studies the pricing and optimal execution strategy of an accelerated share repurchase contract with a fixed notional.
Quants develop method to include both market impact and limit orders in optimal trade execution
Algo traders propose a new optimal execution algorithm with both limit and market orders
Balancing the price uncertainty and price impact of large orders is an important issue for many market participants. While classical approaches lead to trading algorithms that are invariably price-path insensitive, in this article, Sebastian Jaimungal…