OPTIMAL EXECUTION HORIZON

David Easley; Marcos Lopez de Prado; Maureen O'Hara

doi:10.1111/mafi.12045

OPTIMAL EXECUTION HORIZON

Mathematical Finance ◽

10.1111/mafi.12045 ◽

2013 ◽

Vol 25 (3) ◽

pp. 640-672 ◽

Cited By ~ 6

Author(s):

David Easley ◽

Marcos Lopez de Prado ◽

Maureen O'Hara

Keyword(s):

Optimal Execution

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Optimal Execution of Statistical Arbitrage Strategies with Stochastic Trading Volume

SSRN Electronic Journal ◽

10.2139/ssrn.2326947 ◽

2013 ◽

Author(s):

James Eustace ◽

Peter F. Pope ◽

Stephen E. Satchell

Keyword(s):

Trading Volume ◽

Statistical Arbitrage ◽

Optimal Execution

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Requirements for optimal execution of oops with tests

Proceedings of the 2nd international conference on Supercomputing - ICS '88 ◽

10.1145/55364.55387 ◽

1988 ◽

Cited By ~ 3

Author(s):

A. Uht

Keyword(s):

Optimal Execution

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Optimal execution of large scale simulations in the cloud. The case of ROUTE-TO-PA SIM online preference simulation

2016 Winter Simulation Conference (WSC) ◽

10.1109/wsc.2016.7822408 ◽

2016 ◽

Author(s):

Przemyslaw Szufel ◽

Marcin Czupryna ◽

Bogumil Kaminski

Keyword(s):

Large Scale ◽

Optimal Execution ◽

Large Scale Simulations

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Optimal execution of portfolio trades

Conference Record of the Thirty-First Asilomar Conference on Signals, Systems and Computers (Cat. No.97CB36136) ◽

10.1109/acssc.1997.680575 ◽

2002 ◽

Author(s):

J.T. Rickard ◽

W.A. Lupien ◽

G.A. Wallace

Keyword(s):

Optimal Execution

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Optimal Execution and Block Trade Pricing: A General Framework

Applied Mathematical Finance ◽

10.1080/1350486x.2015.1042188 ◽

2015 ◽

Vol 22 (4) ◽

pp. 336-365 ◽

Cited By ~ 9

Author(s):

Olivier Guéant

Keyword(s):

General Framework ◽

Optimal Execution ◽

Block Trade

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Static vs Adapted Optimal Execution Strategies in Two Benchmark Trading Models

SSRN Electronic Journal ◽

10.2139/ssrn.2840290 ◽

2016 ◽

Cited By ~ 1

Author(s):

Damiano Brigo ◽

Cllment Piat

Keyword(s):

Optimal Execution

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OPTIMAL EXECUTION STRATEGY WITH LINEAR PRICE IMPACT FUNCTIONS

Transactions of the Operations Research Society of Japan ◽

10.15807/torsj.50.100 ◽

2007 ◽

Vol 50 (0) ◽

pp. 100-122

Author(s):

Norio Hibiki

Keyword(s):

Price Impact ◽

Optimal Execution ◽

Execution Strategy

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Formulation of an Optimal Execution Problem with Market Impact

Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications ◽

10.5687/sss.2010.235 ◽

2010 ◽

Vol 2010 (0) ◽

pp. 235-240

Author(s):

Takashi Kato

Keyword(s):

Market Impact ◽

Optimal Execution ◽

Optimal Execution Problem

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Optimal Execution in a General One-Sided Limit-Order Book

SIAM Journal on Financial Mathematics ◽

10.1137/10078534x ◽

2011 ◽

Vol 2 (1) ◽

pp. 183-212 ◽

Cited By ~ 114

Author(s):

Silviu Predoiu ◽

Gennady Shaikhet ◽

Steven Shreve

Keyword(s):

Limit Order Book ◽

Order Book ◽

Limit Order ◽

Optimal Execution

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Optimal Execution Strategies in Limit Order Books with General Shape Functions

SSRN Electronic Journal ◽

10.2139/ssrn.1510104 ◽

2009 ◽

Cited By ~ 5

Author(s):

Aurélien Alfonsi ◽

Antje Fruth ◽

Alexander Schied

Keyword(s):

Shape Functions ◽

General Shape ◽

Limit Order ◽

Optimal Execution ◽

Order Books ◽

Limit Order Books

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