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Abstract
In this article, we discuss the fundamentals of the market structure and trading, along with how these impact the execution of investment strategies. From a practitioner perspective, we bring together this information to explore different models and processes to assist in achieving optimal execution of trading strategies. After providing a taxonomy of trading costs, we discuss how these costs, particularly market impact costs, are estimated and forecasted. Proposed models for optimal execution designed to get the best execution of a single trade, or sometimes a sequence of trades, are reviewed.
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- Article
- Abstract
- MARKET STRUCTURE
- IMPACT ON INVESTORS
- A TAXONOMY OF TRANSACTION COSTS
- LIQUIDITY AND TRANSACTION COSTS
- MARKET IMPACT MEASUREMENTS AND EMPIRICAL FINDINGS
- FORECASTING AND MODELING MARKET IMPACT
- INCORPORATING TRANSACTION COSTS IN PORTFOLIO CONSTRUCTION
- OPTIMAL EXECUTION
- SUMMARY
- ACKNOWLEDGMENT
- ENDNOTES
- REFERENCES
- Info & Metrics
- PDF (Subscribers Only)
- PDF (Subscribers Only)
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