Dynamical Models of Market Impact and Algorithms for Order Execution

In this review article, we present recent work on the regularity of dynamical market impact models and their associated optimal order execution strategies. In particular, we address the question of the stability and existence of optimal strategies, showing that in a large class of models, there is price manipulation and no well-behaved optimal order execution strategy. We also address issues arising from the use of dark pools and predatory trading

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Year of publication:	2013
Authors:	Gatheral, Jim
Other Persons:	Schied, Alexander (contributor)
Publisher:	[2013]: [S.l.] : SSRN

Extent:	1 Online-Ressource (23 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: HANDBOOK ON SYSTEMIC RISK, Jean-Pierre Fouque, Joseph A. Langsam, eds., pp. 579-599, Cambridge, 2013 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 24, 2013 erstellt
Other identifiers:	10.2139/ssrn.2034178 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013091212