Optimal Execution Trajectories. Linear Market Impact with Exponential Decay
Trading and Market Microstructure
2013-09-27 v1 Computational Finance
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.
Keywords
Cite
@article{arxiv.1309.6725,
title = {Optimal Execution Trajectories. Linear Market Impact with Exponential Decay},
author = {Igor Skachkov},
journal= {arXiv preprint arXiv:1309.6725},
year = {2013}
}