Optimal execution for portfolio transactions

By A. Fadeev. 2006

933 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/4ab0b17972c4b5c3ebb05ca6754222101d536b66

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Citations in the corpus

Optimal execution with non-linear transient market impact (2014, background): “As pointed out in Gatheral and Schied (2013), a first generation of market impact models (Bertsimas and Lo 1998, Almgren and Chriss 1999, Almgren and Chriss 2001, Almgren 2003) distinguishes between two impact components.”
Intraday Patterns in the Cross-Section of Stock Returns (2010, methodology): “ments and the direction of trade). A number of papers extend the above results to incorporate the risk of the trading program, in addition to the expected trading cost, for risk averse traders (e.g., Almgren and Chriss (2000), Grinold and Kahn (2000), Vayanos (2001), Huberman and Stanzl (2005), and ”
Optimal order placement in limit order markets (2012, background): “Existing studies on optimal trade execution (Bertsimas and Lo 1998, Almgren and Chriss 2000) have investigated how the execution cost of a large trade may be reduced by splitting it into multiple orders spread in time.”
TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS (2012, unknown): “The model described above is a linear-impact version of the continuous-time model introduced by Gatheral (2010), which is itself closely related to the discrete-time log-impact model of Bouchaud et al. (2004). Also, see Lehalle and Dang (2010) for a recent application of a model of this type to the ”
Option Hedging with Smooth Market Impact (2016, methodology): “As in Almgren and Chriss [2000], trading at instantaneous rateθt requires payment of a price premium linear in θt.”
Recent advances in reinforcement learning in finance (2021, background): “When we assume that both the price impacts are linear, that is 𝑔(𝑢𝑡) = 𝛾𝑢𝑡, ℎ(𝑢𝑡) = 𝜂𝑢𝑡, where 𝛾 and 𝜂 are the permanent and temporary price impact parameters, Almgren and Chriss (2001) derive the general solution for the Almgren–Chriss model.”
OPTION PRICING AND HEDGING WITH EXECUTION COSTS AND MARKET IMPACT (2013, unknown): “rices that eventually depart from those in the Black-Scholes model. We model execution costs (liquidity costs) diﬀerently because our framework is inspired by the literature on optimal execution (see [1, 16, 28]). The second route has to do with the impact of ∆-hedging on the dynamics of the underly”
TRADING WITH SMALL PRICE IMPACT (2014, unknown): “Indeed, the key parameter – the square root of variance, times risk aversion, divided by two times the trading cost – also plays a pivotal role in the analysis of Almgren and Chriss [2] as well as Schied and Schöneborn [49].”
Dynamic Trading with Predictable Returns and Transaction Costs (2013, unknown): “A fourth strand of literature derives the optimal trade execution, treating the asset and quantity to trade as given exogenously (see, for example, Perold (1988), Bertsimas and Lo (1998), Almgren and Chriss (2000), Obizhaeva and Wang (2006), and Engle and Ferstenberg (2007)).”
A Hamilton-Jacobi-Bellman approach to optimal trade execution (2011, background): “In [1], path-independent or static strategies are suggested.”
Algorithmic Trading and the Market for Liquidity (2013, unknown): “5Almgren and Chriss (2000) extend this by considering the risk that arises from breaking up orders and slowly executing them.”
The Price Impact of Order Book Events (2010, unknown): “A particularly important issue for applications is the impact of orders on prices: the optimal liquidation of a large block of shares, given a fixed time horizon, crucially involves assumptions on price impact (see Bertsimas and Lo [6], Almgren and Chriss [2], Obizhaeva and Wang [35]).”
Matched Asymptotic Expansions in Financial Engineering (2005, background): “These have been considered by a number of authors (see [7, 8, 9, 10, 11, 12] and references therein), and the common thread is that where a ‘Black–Scholes equation’ can be formulated as a result of a continuous-time trading strategy or a continuous-time approximation to a discrete-time strategy, it ”
Optimal Basket Liquidation for CARA Investors is Deterministic (2010, unknown): “Almgren and Chriss (1999, 2001), therefore, suggested to replace the minimization of the expected costs by a mean–variance Correspondence Address: Alexander Schied, Chair of Bussiness Mathematics, Mannheim University, A 5, 6, Mannheim 68159, Germany.”
Optimal execution strategies in limit order books with general shape functions (2007, methodology): “Problems of this type were investigated by Bertsimas and Lo [8], Almgren and Chriss [3, 4], Almgren and Lorenz [5], Obizhaeva and Wang [16], and Schied and Schöneborn [18, 19] to mention only a few.”