快速和预防性:交易执行的订单控制

CompSciRN: Algorithms (Topic) Pub Date : 2017-04-05 DOI:10.2139/ssrn.2977667

Brian M Bulthuis, Julio Concha, Tim Leung, Brian Ward

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引用次数: 1

摘要

对算法交易平台来说，控制交易的速度和方向变得越来越重要。Brian Bulthuis, Julio Concha, Tim Leung和Brian Ward提出了一种新的限制和市场订单的最优执行算法。给出了最优策略的解析推导和数值说明。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Fast and Precautious: Order Controls for Trade Execution

Controlling the speed and direction of trades becomes increasingly important to algorithmic trading desks. Brian Bulthuis, Julio Concha, Tim Leung and Brian Ward propose a new optimal execution algorithm with both limit and market orders. An optimal strategy is derived analytically and illustrated numerically.

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CompSciRN: Algorithms (Topic)

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