Multi-day Executions

Cai, T.; Sofianos, George

doi:10.3905/jot.2006.644086

Cited by 4 publications

(2 citation statements)

References 2 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Orders between 5% and 15% of ADV can be traded during the course of a trading day but with some work; orders between 15% and 25% of ADV are difficult trades to execute which require traders to minimise information leakage pertaining to their trading intentions (Kissell and Glantz, 2003). Cai and Sofianos (2006) also suggest that the limit of one day trading typically ranges from 10% to 30% of ADV. We assume that the order to be traded consists of V shares.…”

Section: Trade Execution Strategymentioning

confidence: 99%

Dynamic trade execution: a grammatical evolution approach

Cui

Brabazon

O’Neill

2011

IJFMD

View full text Add to dashboard Cite

Abstract:Trade execution is concerned with the actual mechanics of buying or selling the desired amount of a financial instrument. Investors wishing to execute large orders face a tradeoff between market impact and opportunity cost. Trade execution strategies are designed to balance out these costs, thereby minimising total trading cost. Despite the importance of optimising the trade execution process, this is difficult to do in practice due to the dynamic nature of markets and due to our imperfect understanding of them. In this paper, we adopt a novel approach, combining an evolutionary methodology whereby we evolve high-quality trade execution strategies, with an agent-based artificial stock market, wherein the evolved strategies are tested. The evolved strategies are found to outperform a series of benchmark strategies and several avenues are suggested for future work.

show abstract

Section: Trade Execution Strategymentioning

confidence: 99%

Dynamic trade execution: a grammatical evolution approach

Cui

Brabazon

O’Neill

2011

IJFMD

View full text Add to dashboard Cite

show abstract

“…On the other hand, research on the order choice decision has been focused on static models or in small orders 67 In this paper we aspire to provide a solid and integrated framework where the order choice decision can take place. We simulate and calibrate a stochastic limit order book, where a trader is mandated to transact a quantity of Q shares, within a horizon T. The distribution of each individual transaction cost is estimated as well as the distribution of the overall Implementation Shortfall of the transaction initially assuming a trade ignoring the fact that institutional investors hold and transact large positions, as percentage of average daily volume or daily turnover and this size effect forces them to split their orders over multiple periods, some times over multiple days, as shown in , Madhavan (1995, 1996) and Cai and Sofianos (2006).…”

mentioning

confidence: 99%

Μικροδομή Και Ρευστότητα Χρηματιστηριακών Αγορών

Zogopoulos¹,

Ζωγόπουλος²

View full text Add to dashboard Cite

A problem where a large position must be transacted by a risk-averse trader within a short finite horizon is set. A limit order book market is calibrated and simulated, accounting for facts like intraday seasonality, discrete price ticks and round lots, and the distributions of both individual execution cost components and the overall Implementation Shortfall of stylized execution schedules are presented with and without incorporating the order choice decision. Decision rules quantifying the costs, benefits and risks of employing passive limit orders are implemented, optimizing simultaneously the joint decision of pricing, sizing, and duration of each limit order. The improvement in the Implementation Shortfall distribution is significant, in all states of the world, whereas market resiliency, the least researched aspect of market liquidity, is the key location determinant for the Implementation Shortfall distribution. Considerations about imperfect fill and picking-off risks can't outweigh the benefit of trading with patient limit orders.

show abstract

Asset Management with Price Impact and Fair Treatment of Clients

Jezek¹,

Satchell²

2010

View full text Add to dashboard Cite

Multi-day Executions

Cited by 4 publications

References 2 publications

Dynamic trade execution: a grammatical evolution approach

Dynamic trade execution: a grammatical evolution approach

Μικροδομή Και Ρευστότητα Χρηματιστηριακών Αγορών

Asset Management with Price Impact and Fair Treatment of Clients

Contact Info

Product

Resources

About