arXiv q-fin· Dnyanesh Kulkarni, Revant Nayar·· 2 days agoAI Score43
From Alpha to Execution: Trading Horizon, Market Regimes, and Execution Schedules under Concave Impact and Hurst Scaling
From Alpha to Execution: Trading Horizons, Regimes, and Schedules under Concave Impact and Hurst Scaling
AI summary
This study analyzes trade execution under concave power-law impact and Hurst-scaled price fluctuations. It determines the optimal execution horizon by maximizing the Sharpe ratio of realized trading P&L and identifies conditions for an interior optimum. The derived execution schedule can reduce envelope costs by 10-17% compared to a TWAP schedule over the same duration. The results are published on arXiv.
Source:arXiv q-fin · arxiv.org
High-Frequency and Market MicrostructurePaper Research#Papers / Research#High-Frequency / Market Microstructure#arXiv