arXiv subjects

Igor Skachkov

Publications and source records attributed to Igor Skachkov.

2 recordsLinked to original sources

arXiv2013

Market Impact Paradoxes

The market impact (MI) of Volume Weighted Average Price (VWAP) orders is a convex function of a trading rate, but most empirical estimates of transaction cost are concave functions. How is this possible? We show that isochronic (constant trading time) MI is slightly convex, and isochoric (constant trading volume) MI is concave. We suggest a model that fits all trading regimes and guarantees no-dynamic-arbitrage.

q-fin.TR↗

arXiv2013

Optimal Execution Trajectories. Linear Market Impact with Exponential Decay

Optimal execution of portfolio transactions is the essential part of algorithmic trading. In this paper we present in simple analytical form the optimal trajectory for risk-averse trader with the assumption of exponential market recovery and short-time investment horizon.

q-fin.TR↗