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Optimal Execution in a Market with Small Investors

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  • Ryosuke Ishii

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    (Institute of Economic Research, Kyoto University)

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    Abstract

    We consider the dynamic trading strategies that minimize the expected cost of trading a large block of securities over a fixed finite number of periods and the endogenously determined price impact function that yields the execution prices for individual trades. This analysis is novel in that it introduces market participants other than institutional investors and constructing a general equilibrium model. We find that institutional investors are much more likely to speculate to exploit private informations and price impact function changes over time, which has been left unnoticed in the existing literature.

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    Bibliographic Info

    Paper provided by Kyoto University, Institute of Economic Research in its series KIER Working Papers with number 653.

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    Length: 19pages
    Date of creation: May 2008
    Date of revision:
    Handle: RePEc:kyo:wpaper:653

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    Cited by:
    1. Ryosuke Ishii, 2009. "Optimal Execution in an Evolutionary Setting," KIER Working Papers 670, Kyoto University, Institute of Economic Research.

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