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A practical framework for estimating transaction costs and developing optimal trading strategies to achieve best execution
8 references·2 citing·37 second hop
A practical framework for estimating transaction costs and developing optimal trading strategies to achieve best execution (2004)A practical framework for estimating tran…Optimal Trading Strategies: Quantitative Approaches for Managing Market Impact and Trading Risk (2003)Optimal Trading Strategies: Q…Optimal execution of portfolio transactions (2001)Optimal execution of portfoli…Optimal control of execution costs (1998)Optimal control of execution …Best Execution (1993)Best ExecutionInferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…The Total Cost of Transactions on the NYSE (1988)The Total Cost of Transaction…The implementation shortfall (1988)The implementation shortfallWhat Does It Take to Win the Trading Game? (1981)What Does It Take to Win the …Algorithmic trading for online portfolio selection under limited market liquidity (2020)Algorithmic trading for onlin…Optimal VWAP trading under noisy conditions (2011)Optimal VWAP trading under no…Common stock repurchases (1981)Continuous Auctions and Insider Trading (1985)Inefficiency in Analysts' Earnings Forecasts: Systematic Misreaction or Systematic Optimism? (1999)Does Algorithmic Trading Improve Liquidity? (2011)60 Years of portfolio optimization: Practical challenges and current trends (2013)Dynamic Trading with Predictable Returns and Transaction Costs (2013)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Common factors in prices, order flows, and liquidity (2001)Stealth-trading: Which traders' trades move stock prices? (2001)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)Information Effects on the Bid-Ask Spread (1983)An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs (1991)Market vs. Limit Orders: The SuperDOT Evidence on Order Submission Strategy (1996)Issues in assessing trade execution costs (2003)The Cost of Transacting (1968)PRICE IMPACTS OF BLOCK TRADING ON THE NEW YORK STOCK EXCHANGE (1972)An Investigation of Transactions Data for NYSE Stocks (1985)Optimal Dynamic Order Submission Strategies in Some Stylized Trading Problems (1998)International Evidence on Institutional Trading Behavior and Price Impact (2004)Very fast money: High-frequency trading on the NASDAQ (2013)Stealth trading and volatility (1993)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2006)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)VWAP Execution and Guaranteed VWAP (2014)Introduction to Stochastic Programming (2011)Equity trading by institutional investors: Evidence on order submission strategies (2003)Financialization directing strategy (2008)A Tale of Two Consequences (2015)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Equity trading by institutional investors: To cross or not to cross? (2006)Market impact costs of institutional equity trades (2007)Transaction Cost Analysis (2008)Algorithmic Decision-Making Framework (2005)Optimal liquidation in dark pools (2014)A Signal Processing Perspective on Financial Engineering (2016)
this work references cited by second hop

References

  • 1991Inferring Trade Direction from Intraday Data3,150 cited
  • 2001Optimal execution of portfolio transactions1,598 cited
  • 1998Optimal control of execution costs1,056 cited
  • 1988The implementation shortfall441 cited
  • 1988The Total Cost of Transactions on the NYSE316 cited
  • 2003Optimal Trading Strategies: Quantitative Approaches for Managing Market Impact and Trading Risk97 cited
  • 1993Best Execution74 cited
  • 1981What Does It Take to Win the Trading Game?57 cited

Cited by

  • 2011Optimal VWAP trading under noisy conditions38 cited
  • 2020Algorithmic trading for online portfolio selection under limited market liquidity25 cited

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