parent order into smaller child orders over a given time horizon. Few models rigorously tackle the actual placement of these … complexities, e.g., fragmentation due to multiple venues, dynamics of limit order books, lit vs. dark liquidity, different trading …

regular time intervals, whereas TR is a process of setting allocation limits for portfolios and rebalancing when portfolios … and volatility regimes. Using cointegrated price data, it is shown that increasing the number of assets in a portfolio … supports the proftability of the HFRA in an up-trend and reduces the potential loss of the HFRA in a down-trend in a high-volatility …

This paper examines how volatility positions can be optimally constructed by modeling the selection process as a linear … parameters to be applied in the optimization process for robust position risk management. We use implied volatility decreases …) events to construct a linear system where feasible solutions represent an investor’s optimal volatility position. Significant …