Theoretical and Applied Economics
No. 4 / 2015 (605), Winter
Modelling optimal execution strategies for Algorithmic trading
Virgil DAMIAN
Bucharest University of Economic Studies, Romania
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.
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