We consider the model of asset prices with transient impact as proposed in Gatheral (2008) and minimize the mean-variance functional of the execution cost. Using a non-classical result on calculus of variations, we obtain an integral equation characterizing the optimal strategy. The latter takes...

We consider a Volume Weighted Average Price (VWAP) trading algorithm in which instead of following the static curve passively, the algo may adjust its participation rate in each interval. We propose a framework in which the adjustment only makes use of the expected value of the price...

We propose a decomposition of algorithm's a priori performance, from which we sep- arate contributions came from different factors. We show that, in combining estimations on volume and price and always taking into account the price-impact effect, one is able to optimize the execution in a...

We review some methodologies used to predict the intraday volume percentage curve, the intraday volumes as well as the closing auction volume. The methods can be very simple (average of historical curves), parametric (cubic function) or very sophisticated (linear model with real-time...