Date
Thu, 14 Feb 2019
Time
16:00 - 17:30
Location
L4
Speaker
Eyal Neumann
Organisation
Imperial College London

Further Information

We consider an optimal execution problem in which a trader is looking at a short-term price predictive signal while trading. In the case where the trader is creating an instantaneous market impact, we show that transactions costs resulting from the optimal adaptive strategy are substantially lower than the corresponding costs of the optimal static strategy. Later, we investigate the case where the trader is creating transient market impact. We show that strategies in which the trader is observing the signal a number of times during the trading period, can dramatically reduce the transaction costs and improve the performance of the optimal static strategy. These results answer a question which was raised by Brigo and Piat [1], by analyzing two cases where adaptive strategies can improve the performance of the execution. This is joint work with Claudio Bellani, Damiano Brigo and Alex Done.

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