OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH

By Christoph Frei, Nicholas Westray. 2015

69 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/718b3f5fa99ec17859470399204bcfdd7b8b5085

Citations in the corpus

• Incorporating order-flow into optimal execution (2016, unknown): “Moreover, as [16] point out, given the extremely low predictive accuracy of market impact models (typically <5% R2), the cost of increased complexity arising from moving away from a linear model would outweigh any gains from better describing market impact.”