Leveraging IS and TC: Optimal order execution subject to reference strategies

• Main Authors: Cheng, Xue, Guo, Peng, Wang, Tai-ho
• Format: Journal Article
• Language: English
• Published: 06.01.2024
• Subjects: Quantitative Finance - Trading and Microstructure

The paper addresses the problem of meta order execution from a broker-dealer's point of view in Almgren-Chriss model under execution risk. A broker-dealer agency is authorized to execute an order of trading on some client's behalf. The strategies that the agent is allowed to deploy is subj...