Optimal control of execution costs

Dimitris Bertsimas, Andrew W. Lo · 1998 · Journal of Financial Markets

IntermediateIntradayTheory

Dynamic programming for splitting a large order to minimise expected cost. The first formal optimal-execution model.

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Level: Intermediate: Comfortable with statistics, regressions and basic probability models
Horizon: Intraday
Data needed: None to read it; no dataset required Set what data you have
Themes: Execution
Assets: Equities
Market: Global

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Cite

@article{bertsimas1998optimal,
  author = {Bertsimas, Dimitris and Lo, Andrew W.},
  title = {{Optimal control of execution costs}},
  journal = {Journal of Financial Markets},
  year = {1998},
  doi = {10.1016/s1386-4181(97)00012-8}
}

Bertsimas, D., & Lo, A. W. (1998). Optimal control of execution costs. Journal of Financial Markets. https://doi.org/10.1016/s1386-4181(97)00012-8