Optimal execution of portfolio trans-actions

By Robert Almgren, N. Chriss. 2000

573 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4ea1885d7f00dc2ba59be2d6cc62923de23599ce

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Citations in the corpus

Does Algorithmic Trading Improve Liquidity (2011, background): “Optimal execution of large orders (Keim and Madhavan (1995), Bertsimas and Lo (1998), Almgren and Chriss (2000) )”
Statistical Modeling of High-Frequency Financial Data (2011, background): “This is partly due to the fact that many observed orders are in fact components of a larger ’parent’ order which is executed in small blocks to minimize market impact [2].”
DYNAMIC TRADING VOLUME (2012, unknown): “The recent literature on optimal execution (Bertsimas and Lo 1998; Almgren and Chriss 2001; Huberman and Stanzl 2005; Schied and Schöneborn 2009; Obizhaeva and Wang 2013) considers price-impact functions qualitatively similar to ours, but in a rather different setting, because their typical…”
Dynamic Replication and Hedging: A Reinforcement Learning Approach (2019, methodology): “In the spirit of Almgren and Chriss (2001), our hedging agent would like to solve a simplified version of Equation 8, namely E V∑ −δ + κ δ = min [ ] 2 [ ] strategies 0 w w t T t t (9) where the minimum is computed across all permissible trading strategies.”
No‐arbitrage implies power‐law market impact and rough volatility (2018, background): “is a slowly varying function (see denition in Appendix A.2). Finally we necessarily have (1 Ta ) 1T L(T)!K; and consequently aT !1 (see Proposition A.1 in Appendix A.2). Considering for example f= 1 [0;1], Theorem 2.1 shows that under no-arbitrage together with the assumption of the existence of the”
Optimal Trade Execution under Geometric Brownian Motion in the Almgren and Chriss Framework (2011, unknown): “2 The optimal trade execution problem We use the following continuous-time formulation of the market impact model proposed by Almgren and Chriss [2, 3] and Almgren [1].”