Execution and price impact
The implementation shortfall: Paper versus reality
Defines implementation shortfall, the gap between paper and real portfolio returns. The benchmark most execution algorithms target.
Optimal control of execution costs
Dynamic programming for splitting a large order to minimise expected cost. The first formal optimal-execution model.
Optimal execution of portfolio transactions
The mean-variance trade-off between impact cost and timing risk gives an efficient frontier of execution schedules. The model behind most implementation-shortfall algos.
Direct Estimation of Equity Market Impact
Calibrates permanent and temporary impact on a large broker's US equity orders. Temporary impact grows roughly with participation rate to the power 0.6.
Optimal trading strategy and supply/demand dynamics
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.
Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets
Evidence and a mechanism for the square-root impact law (impact ∝ σ√(Q/V)) from a fund's own metaorders.
Optimal order placement in limit order markets
How to split an order across venues and between limit and market orders given fill probabilities. A blueprint for a smart order router.
Trading Costs
Real execution costs from a large asset manager's live trades are far below the academic estimates, so more anomalies survive costs than commonly assumed.