Othmane Mounjid (CMAP école Polytechnique) – Optimal liquidity-based trading tactics

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Othmane Mounjid (CMAP école Polytechnique) – Optimal liquidity-based trading tactics

4 mai @ 8 h 00 min - 17 h 00 min

We consider an agent who needs to buy (or sell) a relatively small amount of asset over some fixed short time interval. We work at the highest frequency meaning that we wish to find the optimal tactic to execute our quantity using  limit orders, market orders and cancellations. To solve the agent’s control problem, we build an order book model and optimize an expected utility function based on our price impact. We derive the equations satisfied  by the optimal strategy and solve them numerically. Moreover, we show that our optimal tactic enables us to outperform significantly naive execution strategies.

Détails

Date :
4 mai
Heure :
8 h 00 min - 17 h 00 min