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OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH

  • Published:2013-10-09 Issue:3 Volume:25 Page:612-639
  • ISSN:0960-1627
  • Container-title:Mathematical Finance
  • language:en
  • Short-container-title:Mathematical Finance

Author:

Frei Christoph1,Westray Nicholas2

Affiliation:

1. Department of Mathematical and Statistical Sciences; University of Alberta

2. Deutsche Bank AG; London

Funder

Natural Sciences and Engineering Research Council of Canada

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Reference28 articles.

1. Optimal Trading with Stochastic Liquidity and Volatility;Almgren;SIAM J. Finan. Math.,2012

2. Optimal Execution of Portfolio Transactions;Almgren;J. Risk,2000

3. Equity Market Impact;Almgren;Risk,2005

4. The Total Cost of Transactions on the NYSE;Berkowitz;J. Finance,1988

5. Optimal Control of Execution Costs;Bertsimas;J. Finan. Markets,1998

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