We study the optimal execution strategy of selling a security. In a continuous time diffusion framework, a risk-averse trader faces the choice of selling the security promptly or placing a limit order and hence delaying the transaction in order to sell at a more favorable price. We introduce a...

We use transaction level data for twelve stocks with large market capitalization on the Australian Stock Exchange to develop an empirical model for trade sign (trade initiator) inference. The new model is a piecewise linear parameterization of the model proposed recently in Ref. [1]. The space...