Optimal trading strategy and supply/demand dynamics

Anna A. Obizhaeva, Jiang Wang · 2013 · Journal of Financial Markets

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Execution against a resilient order book: trade an initial block, then continuously, then a final block, with the mix set by how fast the book refills.

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At a glance

Level: Advanced: Stochastic control, point processes, heavy econometrics or deep learning
Horizon: Intraday
Data needed: L2 depth (snapshots) Set what data you have
Themes: Execution Price impact
Assets: Equities
Market: Global

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Execution and price impact

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Cite

@article{obizhaeva2013optimal,
  author = {Obizhaeva, Anna A. and Wang, Jiang},
  title = {{Optimal trading strategy and supply/demand dynamics}},
  journal = {Journal of Financial Markets},
  year = {2013},
  doi = {10.1016/j.finmar.2012.09.001}
}

Obizhaeva, A. A., & Wang, J. (2013). Optimal trading strategy and supply/demand dynamics. Journal of Financial Markets. https://doi.org/10.1016/j.finmar.2012.09.001