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  • The square-root impact law
  • Bertsimas and Lo: optimal control of execution costs
  • Almgren and Chriss: the efficient frontier of execution
  • Execution

Execution#

The cost of trading a large order, and how to schedule it.

The square-root impact law

The square-root impact law

Bertsimas and Lo: optimal control of execution costs

Bertsimas and Lo: optimal control of execution costs

Almgren and Chriss: the efficient frontier of execution

Almgren and Chriss: the efficient frontier of execution
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