Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models
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DOI: 10.1007/s00780-021-00464-5
Abstract: We analyze an optimal trade execution problem in a financial market with stochastic liquidity. To this end we set up a limit order book model in continuous time. Both order book depth and resilience are… read more here.
Keywords: execution; trade execution; optimal trade; order book ... See more keywords
Mechanics of good trade execution in the framework of linear temporary market impact
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DOI: 10.1080/14697688.2020.1814395
Abstract: We define the concept of good trade execution and we construct explicit adapted good trade execution strategies in the framework of linear temporary market impact. Good trade execution strategies are dynamic, in the sense that… read more here.
Keywords: trade execution; execution strategies; good trade; mechanics ... See more keywords
Minimum tick size, market quality and costs of trade execution in Vietnam
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DOI: 10.1371/journal.pone.0285821
Abstract: The Vietnamese government introduced a change in the minimum tick size for stock trading on 12 September 2016 to improve market quality and reduce trade execution costs. The intended effects of this policy have not… read more here.
Keywords: tick size; size; trade execution; market quality ... See more keywords