Abstract The Volume-Weighted Average Price (VWAP) of a security is a key measure of
execution quality for large orders often used by institutional investors. We propose a VWAP …

Optimal trade execution aims at balancing price impact and timing risk. With respect to the
mathematical formulation of the optimization problem, we primarily focus on Mean Variance …

We consider the problem of finding a strategy that tracks the volume weighted average price
(VWAP) of a stock, a key measure of execution quality for large orders used by institutional …

IT-driven trading innovations offer institutional investors alternative trading channels to
broker delegated order handling. Motivated by the impact on intermediation relationships in …

Algorithmic Trading Page 1 Algorithmic Trading Optimal Execution Models and the Real World
Christopher Ting http://www.mysmu.edu/faculty/christophert/ Lee Kong Chian School of …

The authors address a single question in this article: Is consideration of trading strategy an
essential component in assessing venue performance? The answer is yes. They arrive at …

中国资本市场上较高的交易成本使得“算法交易” 这一以优化执行为核心的交易技术具有广阔的
发展前景. 为了研究算法交易对执行成本, 市场质量以及交易系统的影响 …