Imperial College London
Alternate

ProfessorDamianoBrigo

Faculty of Natural Sciences, Department of Mathematics

Chair in Mathematical Finance
 
 
 
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Contact

 

damiano.brigo CV

 
 
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Location

 

805Weeks BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Bellani:2020:10.1080/14697688.2020.1814395,
author = {Bellani, C and Brigo, D},
doi = {10.1080/14697688.2020.1814395},
journal = {Quantitative Finance},
pages = {143--163},
title = {Mechanics of good trade execution in the framework of linear temporary market impact},
url = {http://dx.doi.org/10.1080/14697688.2020.1814395},
volume = {21},
year = {2020}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - We define the concept of good trade execution and we construct explicit adapted good trade execution strategies in the framework of linear temporary market impact. Good trade execution strategies are dynamic, in the sense that they react to the actual realisation of the traded asset price path over the trading period; this is paramount in volatile regimes, where price trajectories can considerably deviate from their expected value. Remarkably, however, the implementation of our strategies does not require the full specification of an SDE evolution for the traded asset price, making them robust across different models. Moreover, rather than minimising the expected trading cost, good trade execution strategies minimise trading costs in a pathwise sense, a point of view not yet considered in the literature. The mathematical apparatus for such a pathwise minimisation hinges on certain random Young differential equations that correspond to the Euler–Lagrange equations of the classical Calculus of Variations. These Young differential equations characterise our good trade execution strategies in terms of an initial value problem that allows for easy implementations.
AU  - Bellani,C
AU  - Brigo,D
DO  - 10.1080/14697688.2020.1814395
EP  - 163
PY  - 2020///
SN  - 1469-7688
SP  - 143
TI  - Mechanics of good trade execution in the framework of linear temporary market impact
T2  - Quantitative Finance
UR  - http://dx.doi.org/10.1080/14697688.2020.1814395
UR  - https://www.tandfonline.com/doi/full/10.1080/14697688.2020.1814395
UR  - http://hdl.handle.net/10044/1/82327
VL  - 21
ER  -
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