Research paper on trade execution under concave impact and Hurst scaling published
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Dnyanesh Kulkarni and Revant Nayar have published a study on trade execution under concave power-law impact and Hurst-scaled price fluctuations, determining the optimal execution period by maximizing the Sharpe ratio of realized profit and loss, and clarifying the conditions for the existence of an internal optimal solution. The execution plan derived in this study can save 10-17% of the envelope cost compared to a TWAP plan under the same trading duration, and the relevant results have been published on the arXiv platform.
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- arXiv q-finFrom Alpha to Execution: Trading Horizon, Market Regimes, and Execution Schedules under Concave Impact and Hurst Scaling
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.
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