2003•Unpublished venueRequires access

Optimal Trading Strategies: Quantitative Approaches for Managing Market Impact and Trading Risk

Robert Kissell, Morton Glantz, Roberto Malamut

Abstract

1. Transaction Cost 2. Unbundled Trading Costs 3. Pre-Trade 4. Price Appreciation 5. Market Impact 6. Timing Risk 7. Opportunity Cost 8. The Holy Grail of Market Impact 9. Optimal Trading Strategies 10. Principal Bid Transactions 11. VWAP Trading Strategies 12. Advanced Trading Techniques 13. Post Trade Analysis

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Available abstract

Key concepts: Pairs trade, Algorithmic trading, Transaction cost, Holy Grail, Volume-weighted average price, Alternative trading system, Trading strategy, Business