IDEAS home Printed from https://ideas.repec.org/a/taf/apmtfi/v29y2022i3p181-212.html
   My bibliography  Save this article

Optimal Execution: A Review

Author

Listed:
  • Ryan Donnelly

Abstract

This review article is intended to collect and summarize many of the results in the field of optimal execution over the last twenty years. In doing so, we describe the general workings of the limit order book so that the sources of costs and risks which need to be optimized are understood. The initial models considered propose simple dynamics for prices which allow easily computable strategies which maximize risk-adjusted profits. Subsequently, the review is divided into two major parts. The first explores several works which investigate how optimal liquidation strategies are modified to account for more complex dynamics, namely other stochastic or non-linear factors. The second presents optimal trading strategies when the agent utilizes benchmarks in addition to risk-adjusted wealth, or when she has objectives beyond optimal liquidation.

Suggested Citation

  • Ryan Donnelly, 2022. "Optimal Execution: A Review," Applied Mathematical Finance, Taylor & Francis Journals, vol. 29(3), pages 181-212, May.
    • Handle: RePEc:taf:apmtfi:v:29:y:2022:i:3:p:181-212
    DOI: 10.1080/1350486X.2022.2161588
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/1350486X.2022.2161588
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/1350486X.2022.2161588?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apmtfi:v:29:y:2022:i:3:p:181-212. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAMF20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.