PT  - JOURNAL ARTICLE
AU  - Vladimir Markov
TI  - On the Design of Sell-Side Limit and Market Order Tactics
AID  - 10.3905/jot.2012.7.3.029
DP  - 2012 Jun 30
TA  - The Journal of Trading
PG  - 29--39
VI  - 7
IP  - 3
4099  - https://pm-research.com/content/7/3/29.short
4100  - https://pm-research.com/content/7/3/29.full
AB  - This article provides a novel framework to evaluate limit order tactics that highlights expected fill price, adverse price selection cost, and opportunity cost. We formulate the problem of optimal execution of market orders with nonlinear market impact, power law decay kernel, and stochastic and deterministic liquidity constraints. We demonstrate how these tactics can be incorporated in the uncertainty bands framework.TOPICS: Statistical methods, risk management