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Execution Strategies

In: Modern Equity Investing Strategies

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  • Anatoly B. Schmidt

Abstract

The following sections are included:IntroductionBenchmark-Driven AlgorithmsTime-weighted average priceVolume-weighted average pricePercent of volumeParticipation weighted priceCost-Driven AlgorithmsRisk-neutral frameworkRisk-averse frameworkThe Taker’s Dilemma in Optimal ExecutionIntroductory commentsThe random walk modelModeling execution of pegged ordersNotes

Suggested Citation

  • Anatoly B. Schmidt, 2021. "Execution Strategies," World Scientific Book Chapters, in: Modern Equity Investing Strategies, chapter 15, pages 253-269, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811239502_0015
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    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling

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