Optimal Execution Trajectories. Linear Market Impact with Exponential Decay

2013/09/26 by Igor Skachkov, Skachkov, Igor
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #Computational Finance (q-fin.CP) #Economic theories and models #FOS: Economics and business #Financial Markets and Investment Strategies #Stochastic processes and financial applications #Trading and Market Microstructure (q-fin.TR) #q-fin.CP #q-fin.TR

paper · pdf · doi:10.48550/arxiv.1309.6725

arxiv created 2013/09/26 · openalex publication_date 2013/09/26 · arxiv updated 2013/09/27 · openalex created_date 2022/09/11 · openalex updated_date 2026/07/28

Abstract

Optimal execution of portfolio transactions is the essential part of algorithmic trading. In this paper we present in simple analytical form the optimal trajectory for risk-averse trader with the assumption of exponential market recovery and short-time investment horizon.

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