ECTAP
 
HomeDespre ECTAEventsPolitica editorialaTrimite un articolParteneri / link-uri utileArchiveAbonamentContact
 

ISSN 1841-8678   (print)
ISSN 1844-0029   (online)

News

Archive ECTAP

Note: for the period 1994-2003 the archive of the magazine will not be available online

Supplements ECTAP

If you cannot open the pdf file you need Adobe Reader.
download Adobe Reader

Creative Commons License

Theoretical and Applied Economics
No. 4 / 2015 (605), Winter

Modelling optimal execution strategies for Algorithmic trading

Virgil DAMIAN
Bucharest University of Economic Studies, Romania

Abstract. This paper is focused on the optimal execution of portfolio transactions considered as a stochastic optimal control problem. The main novelty of this work consists in a new methodology, introduced in Udrişte and Damian in 2011, for the stochastic optimal control problems, applied to Almgren and Chriss execution model. In addition to Udrişte (2015), this paper highlights our original ideas and certifies that the new above mentioned method is viable in this framework.

Keywords: optimal execution strategies, algorithmic trading, cost of trading, order book, stochastic optimal control, stochastic differential systems.

Download the full article:  

Contents

Open acces

ECTAP

Search

BOOKS

The Economicity. The Epistemic Landscape, Marin Dinu, 2016

Partners


ISSN 1841-8678 (ediția print) / ISSN 1844-0029 (ediția online)
© Copyright Asociația Generală a Economiștilor din România (AGER) / General Association of Economists From Romania  (GAER)
Redacția: 010702, București, Calea Griviței nr. 21, sector 1, E-mail: economia.ta@edeconomica.com

© 2006-2019 AGER