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Modelling optimal execution strategies for Algorithmic trading

Author

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  • Virgil DAMIAN

    (Bucharest University of Economic Studies, Romania)

Abstract

This paper is focused on the optimal execution of portfolio transactions considered as a stochastic optimal control problem. The main novelty of this work consists in a new methodology, introduced in Udrişte and Damian in 2011, for the stochastic optimal control problems, applied to Almgren and Chriss execution model. In addition to Udrişte (2015), this paper highlights our original ideas and certifies that the new above mentioned method is viable in this framework.

Suggested Citation

  • Virgil DAMIAN, 2015. "Modelling optimal execution strategies for Algorithmic trading," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(4(605), W), pages 99-104, Winter.
    • Handle: RePEc:agr:journl:v:xxii:y:2015:i:4(605):p:99-104
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    References listed on IDEAS

    as
    1. Obizhaeva, Anna A. & Wang, Jiang, 2013. "Optimal trading strategy and supply/demand dynamics," Journal of Financial Markets, Elsevier, vol. 16(1), pages 1-32.
    2. Olivier Gu'eant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2011. "Optimal Portfolio Liquidation with Limit Orders," Papers 1106.3279, arXiv.org, revised Jul 2012.
    3. Jim Gatheral & Alexander Schied, 2011. "Optimal Trade Execution Under Geometric Brownian Motion In The Almgren And Chriss Framework," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(03), pages 353-368.
    4. Marco Avellaneda & Sasha Stoikov, 2008. "High-frequency trading in a limit order book," Quantitative Finance, Taylor & Francis Journals, vol. 8(3), pages 217-224.
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    Cited by:

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