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Optimal starting times, stopping times and risk measures for algorithmic trading
Quantitative Finance High-Frequency Trading Algorithmic Trading Optimal Execution Market Impact Risk Measures
2012/6/4
We derive explicit recursive formulas for Target Close (TC) and Implementation Shortfall (IS) in the Almgren-Chriss framework. We explain how to compute the optimal starting and stopping times for IS ...
Formulas for the Laplace Transform of Stopping Times based on Drawdowns and Drawups
Laplace Transform Drawdowns and Drawups
2010/11/3
In this work we study drawdowns and drawups of general diffu-sion processes. The drawdown process is defined as the current drop of the process from its running maximum, while the drawup process is de...