scholarly journals Optimal execution strategy of liquidation

2006 ◽  
Vol 2 (2) ◽  
pp. 135-144
Author(s):  
Ka Wo Lau ◽  
◽  
Yue Kuen Kwok ◽  
2020 ◽  
Vol 112 (1) ◽  
pp. 123-148 ◽  
Author(s):  
Amir Javadpour ◽  
Kh Saedifar ◽  
Guojun Wang ◽  
Kuan-Ching Li

2016 ◽  
Vol 02 (02) ◽  
pp. 1650005 ◽  
Author(s):  
Aurélien Alfonsi ◽  
Pierre Blanc

We provide some theoretical extensions and a calibration protocol for our former dynamic optimal execution model. The Hawkes parameters and the propagator are estimated independently on financial data from stocks of the CAC40. Interestingly, the propagator exhibits a smoothly decaying form with one or two dominant time scales, but only so after a few seconds that the market needs to adjust after a large trade. Motivated by our estimation results, we derive the optimal execution strategy for a multi-exponential Hawkes kernel and backtest it on the data for round trips. We find that the strategy is profitable on average when trading at the midprice, which is in accordance with violated martingale conditions. However, in most cases, these profits vanish when we take bid–ask costs into account.


2013 ◽  
Vol 237 (1-2) ◽  
pp. 99-120 ◽  
Author(s):  
Somayeh Moazeni ◽  
Thomas F. Coleman ◽  
Yuying Li

2017 ◽  
Vol 5 (1) ◽  
pp. 1364902
Author(s):  
Chiara Benazzoli ◽  
Luca Di Persio ◽  
David McMillan

2018 ◽  
Vol 8 (4) ◽  
pp. 1122-1142
Author(s):  
Yi Fu ◽  
◽  
Baojun Bian ◽  
Jizhou Zhang ◽  
Dirk Linowski ◽  
...  

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