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Optimal Execution Of A Vwap Order: A Stochastic Control Approach

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  • Christoph Frei
  • Nicholas Westray

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  • Christoph Frei & Nicholas Westray, 2015. "Optimal Execution Of A Vwap Order: A Stochastic Control Approach," Mathematical Finance, Wiley Blackwell, vol. 25(3), pages 612-639, July.
    • Handle: RePEc:bla:mathfi:v:25:y:2015:i:3:p:612-639
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    File URL: http://hdl.handle.net/10.1111/mafi.2015.25.issue-3
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    Citations

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    Cited by:

    1. Frei, Christoph & Mitra, Joshua, 2021. "Optimal closing benchmarks," Finance Research Letters, Elsevier, vol. 40(C).
    2. Min Dai & Steven Kou & H. Mete Soner & Chen Yang, 2023. "Leveraged Exchange-Traded Funds with Market Closure and Frictions," Management Science, INFORMS, vol. 69(4), pages 2517-2535, April.
    3. Philippe Casgrain & Sebastian Jaimungal, 2018. "Trading algorithms with learning in latent alpha models," Papers 1806.04472, arXiv.org.
    4. Wang, Kaiyang & Yang, Haizhen, 2018. "The price-volume relationship caused by asset allocation based on Kelly criterion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 1-8.
    5. Markus Baldauf & Christoph Frei & Joshua Mollner, 2022. "Principal Trading Arrangements: When Are Common Contracts Optimal?," Management Science, INFORMS, vol. 68(4), pages 3112-3128, April.
    6. Nino Antulov-Fantulin & Tian Guo & Fabrizio Lillo, 2020. "Temporal mixture ensemble models for intraday volume forecasting in cryptocurrency exchange markets," Papers 2005.09356, arXiv.org, revised Dec 2020.
    7. Fayc{c}al Drissi, 2022. "Solvability of Differential Riccati Equations and Applications to Algorithmic Trading with Signals," Papers 2202.07478, arXiv.org, revised Aug 2023.
    8. Qixuan Luo & Yu Shi & Xuan Zhou & Handong Li, 2021. "Research on the Effects of Institutional Liquidation Strategies on the Market Based on Multi-agent Model," Computational Economics, Springer;Society for Computational Economics, vol. 58(4), pages 1025-1049, December.
    9. Tadeu A. Ferreira, 2020. "Reinforced Deep Markov Models With Applications in Automatic Trading," Papers 2011.04391, arXiv.org.
    10. Christopher Kath & Florian Ziel, 2020. "Optimal Order Execution in Intraday Markets: Minimizing Costs in Trade Trajectories," Papers 2009.07892, arXiv.org, revised Oct 2020.
    11. Dieter Hendricks, 2016. "Using real-time cluster configurations of streaming asynchronous features as online state descriptors in financial markets," Papers 1603.06805, arXiv.org, revised May 2017.
    12. Philippe Bergault & Fayc{c}al Drissi & Olivier Gu'eant, 2021. "Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics," Papers 2103.13773, arXiv.org, revised Mar 2022.
    13. Huyên Pham, 2017. "Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications ," Working Papers hal-01305929, HAL.
    14. Huy^en Pham, 2016. "Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications ," Papers 1604.06609, arXiv.org, revised Mar 2017.
    15. Andrew C. Meldrum & Oleg Sokolinskiy, 2023. "The Effects of Volatility on Liquidity in the Treasury Market," Finance and Economics Discussion Series 2023-028, Board of Governors of the Federal Reserve System (U.S.).
    16. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
    17. Nino Antulov-Fantulin & Tian Guo & Fabrizio Lillo, 2021. "Temporal mixture ensemble models for probabilistic forecasting of intraday cryptocurrency volume," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 905-940, December.

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