Event Details
Optimal Executive Horizon
- Event Date: September 28, 2012
- Event End Date: September 28, 2012
- Event Start Time: 12:10 PM
- Event End Time: 1:00 PM
- Event Location: Hill 116, 2:00 - 4:00 p.m.
- Event Type: Career Workshops
- Extra Info: Mathematical Finance
Senior Exeuctive from Tudor Invesment Management Corp: A senior executive at Tudor Investment Management Corporation will discuss Optimal Execution Horizon.Abstract: Execution traders know that market impact greatly depends on whether their orders lean with or against the market. We introduce the OEH model, which incorporates this fact when determining the optimal trading horizon for an order, an input required by many optimal execution strategies. From a theoretical perspective, OEH explains why market participants may rationally ???dump?? their orders in an increasingly illiquid market. OEH is shown to perform better than participation rate schemes. We argue that trade side and order imbalance are key variables needed for modeling market impact functions, and their dismissal may be the reason behind the apparent disagreement in the literature regarding the functional form of the market impact function. An implementation of OEH is provided, in Python language.http://ssrn.com/abstract=2038387