Fast and Precautious : Order Controls for Trade Execution

Controlling the speed and direction of trades becomes increasingly important to algorithmic trading desks. Brian Bulthuis, Julio Concha, Tim Leung and Brian Ward propose a new optimal execution algorithm with both limit and market orders. An optimal strategy is derived analytically and illustrated numerically

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Year of publication:	2019
Authors:	Bulthuis, Brian
Other Persons:	Concha, Julio (contributor) ; Leung, Tim (contributor) ; Ward, Brian (contributor)
Publisher:	[2019]: [S.l.] : SSRN

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: RISK Magazine, April Issue, 2017 https://www.risk.net/asset-management/4682041/fast-and-precautious-order-controls-for-trade-execution Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 5, 2017 erstellt
Other identifiers:	10.2139/ssrn.2977667 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012892705