Optimality of VWAP Execution Strategies under General Shaped Market Impact Functions
Trading and Market Microstructure
2016-06-01 v3
Abstract
In this short note, we study an optimization problem of expected implementation shortfall (IS) cost under general shaped market impact functions. In particular, we find that an optimal strategy is a VWAP (volume weighted average price) execution strategy when the market model is a Black-Scholes type with stochastic clock and market trading volume is large.
Keywords
Cite
@article{arxiv.1605.03683,
title = {Optimality of VWAP Execution Strategies under General Shaped Market Impact Functions},
author = {Takashi Kato},
journal= {arXiv preprint arXiv:1605.03683},
year = {2016}
}