Optimal execution strategy of liquidation

Ka Wo Lau;  ; Yue Kuen Kwok;

doi:10.3934/jimo.2006.2.135

Optimal execution strategy of liquidation

Journal of Industrial & Management Optimization ◽

10.3934/jimo.2006.2.135 ◽

2006 ◽

Vol 2 (2) ◽

pp. 135-144

Author(s):

Ka Wo Lau ◽

◽

Yue Kuen Kwok ◽

Keyword(s):

Optimal Execution ◽

Execution Strategy

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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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Optimal Execution Strategy for Large Orders in Big Data: Order Type using Q-learning Considerations

Wireless Personal Communications ◽

10.1007/s11277-019-07019-0 ◽

2020 ◽

Vol 112 (1) ◽

pp. 123-148 ◽

Cited By ~ 3

Author(s):

Amir Javadpour ◽

Kh Saedifar ◽

Guojun Wang ◽

Kuan-Ching Li

Keyword(s):

Big Data ◽

Order Type ◽

Q Learning ◽

Optimal Execution ◽

Execution Strategy

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Extension and Calibration of a Hawkes-Based Optimal Execution Model

Market Microstructure and Liquidity ◽

10.1142/s2382626616500052 ◽

2016 ◽

Vol 02 (02) ◽

pp. 1650005 ◽

Cited By ~ 2

Author(s):

Aurélien Alfonsi ◽

Pierre Blanc

Keyword(s):

Time Scales ◽

Financial Data ◽

Optimal Execution ◽

Calibration Protocol ◽

Execution Strategy ◽

Execution Model ◽

Market Needs

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.

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