Brian M Bulthuis, Julio Concha, Tim Leung, Brian Ward
{"title":"Fast and Precautious: Order Controls for Trade Execution","authors":"Brian M Bulthuis, Julio Concha, Tim Leung, Brian Ward","doi":"10.2139/ssrn.2977667","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":106276,"journal":{"name":"CompSciRN: Algorithms (Topic)","volume":"08 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2017-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"CompSciRN: Algorithms (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2977667","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 1
Abstract
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.