We study the problem of the optimal execution of a large trade in the presence of nonlinear transient impact. We propose an approach based on homotopy analysis, whereby a well behaved initial strategy is continuously deformed to lower the expected execution cost. We find that the optimal...

We study the problem of the optimal execution of a large trade in the propagator model with nonlinear transient impact. From brute force numerical optimization of the cost functional, we find that the optimal solution for a buy program typically features a few short intense buying periods...

Optimal execution in financial markets is the problem of how to trade a large quantity of shares incrementally in time in order to minimise the expected cost. In this paper we study the problem of the optimal execution in the presence of nonlinear transient market impact. Mathematically such...

Order flow in equity markets is remarkably persistent in the sense that order signs (to buy or sell) are positively autocorrelated out to time lags of tens of thousands of orders, corresponding to many days. Two possible explanations are herding, corresponding to positive correlation in the...

We develop a theory for the market impact of large trading orders, which we call metaorders because they are typically split into small pieces and executed incrementally. Market impact is empirically observed to be a concave function of metaorder size, i.e., the impact per share of large...

We introduce a new statistical test of the hypothesis that a balanced panel of firms have the same growth rate distribution or, more generally, that they share the same functional form of growth rate distribution. We applied the test to European Union and US publicly quoted manufacturing firms...

We present an empirical study of the intertwined behaviour of members in a financial market. Exploiting a database where the broker that initiates an order book event can be identified, we decompose the correlation and response functions into contributions coming from different market...

We use statistically validated networks, a recently introduced method to validate links in a bipartite system, to identify clusters of investors trading in a financial market. Specifically, we investigate a special database allowing to track the trading activity of individual investors of the...

We study how the round-off (or discretization) error changes the statistical properties of a Gaussian long memory process. We show that the autocovariance and the spectral density of the discretized process are asymptotically rescaled by a factor smaller than one, and we compute exactly this...