Home
Forms Library
Optimal Execution in a General One-Sided Limit - Department of

Get the up-to-date Optimal Execution in a General One-Sided Limit - Department of 2025 now

Optimal Execution in a General One-Sided Limit - Department of Preview on Page 1

Show details

4.3 out of 5

33 votes

The document presents an optimal execution strategy for purchasing a large number of shares in a financial asset within a fixed time frame, considering the nonlinear price impact and resilience of a one-sided limit-order book. The strategy involves making initial and final lump purchases, interspersed with continuous buying at a rate aligned with the order book's recovery rate. The authors provide conditions under which intermediate purchases can be zero, and they explore various models and empirical behaviors related to limit-order books, ultimately deriving a comprehensive framework for minimizing execution costs.

Here's how it works

01. Edit your form online

Type text, add images, blackout confidential details, add comments, highlights and more.

02. Sign it in a few clicks

Draw your signature, type it, upload its image, or use your mobile device as a signature pad.

03. Share your form with others

Send it via email, link, or fax. You can also download it, export it or print it out.

The best way to change Optimal Execution in a General One-Sided Limit - Department of online

Ease of Setup

DocHub User Ratings on G2

Ease of Use

DocHub User Ratings on G2

With DocHub, making changes to your documentation requires just a few simple clicks. Follow these fast steps to change the PDF Optimal Execution in a General One-Sided Limit - Department of online free of charge:

Register and log in to your account. Sign in to the editor with your credentials or click on Create free account to evaluate the tool’s features.
Add the Optimal Execution in a General One-Sided Limit - Department of for redacting. Click on the New Document option above, then drag and drop the sample to the upload area, import it from the cloud, or via a link.
Adjust your template. Make any changes required: add text and images to your Optimal Execution in a General One-Sided Limit - Department of, underline details that matter, erase sections of content and substitute them with new ones, and add symbols, checkmarks, and fields for filling out.
Finish redacting the template. Save the updated document on your device, export it to the cloud, print it right from the editor, or share it with all the parties involved.

Our editor is very intuitive and effective. Try it now!

be ready to get more

Complete this form in 5 minutes or less

Get form

Got questions?

We have answers to the most popular questions from our customers. If you can't find an answer to your question, please contact us.

What is optimal execution?

In general, optimal trade execution is considered the problem of finding a strategy that executes a trade of a certain volume of an asset within a defined time period at a minimal cost (Bertsimas Lo, 1998; Chen et al., 2018).

What is a limit order book strategy?

A limit order book trading strategy is a method of trading that involves tracking and analyzing the order book of a given market. It involves placing orders based on the current market conditions, as well as using the order book to predict future price movements.

What is the fill probability of a limit order book?

The fill probability, or execution probability, refers to the likelihood that a limit order is executed. This probability is affected by both intrinsic characteristics of an order, such as the price and quantity, and by external factors, mainly determined by the market conditions at the time the order is submitted.

How trades are executed using the limit order book?

Limit Order Book Explained Traders execute limit orders to buy or sell securities at a specified price or better. A buy limit order entails purchasing assets at a certain value or less, while a sell order limit means selling at a minimum price given or more.

What is optimal execution in a general one-sided limit order book?

The form of the optimal execution strategy is to make an initial lump purchase and then purchase continuously for some period of time during which the rate of purchase is set to match the order book resiliency.

Related forms

be ready to get more

Complete this form in 5 minutes or less

Get form

What is the priority of a limit order book?

It is a transparent system that matches customer orders (e.g. bids and offers) on a price time priority basis. The highest (best) bid order and the lowest (cheapest) offer order constitutes the best market or the touch in a given security or swap contract.

Get the up-to-date Optimal Execution in a General One-Sided Limit - Department of 2025 now

Here's how it works

The best way to change Optimal Execution in a General One-Sided Limit - Department of online

Complete this form in 5 minutes or less

Got questions?

What is optimal execution?

What is a limit order book strategy?

What is the fill probability of a limit order book?

How trades are executed using the limit order book?

What is optimal execution in a general one-sided limit order book?

Complete this form in 5 minutes or less

People also ask

What is the priority of a limit order book?

Related links

Try more PDF tools