Cover Image

On the design of sell-side limit and market order tactics

This article provides a novel framework to evaluate limit order tactics that highlights expected fill price, adverse price selection cost, and opportunity cost. We formulate the problem of optimal execution of market orders with nonlinear market impact, power law decay kernel, and stochastic and deterministic liquidity constraints. We demonstrate how these tactics can be incorporated in the uncertainty bands framework.
Year of publication:
2014-09
Authors: Markov, Vladimir
Institutions: arXiv.org
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Notes:
Published in The Journal of Trading, Summer 2012, Vol. 7, No. 3: pp. 29-39
Source:
Persistent link: https://www.econbiz.de/10010907999
Similar items by person