File:Optimal Execution Horizon (OEH) of a trading order.jpg
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Original file (5,697 × 4,138 pixels, file size: 766 KB, MIME type: image/jpeg)
_of_a_trading_order.jpg){kind=link}
Summary
| Description |
English: This Figure shows the expected total trading loss for a buy order arising from either a Volume participation strategy or the OEH strategy when the market is expected to be in a balanced state. The total loss is a function of the liquidity component (the cost from trading immediately) and a timing component (the cost from delaying trading). The optimal volume horizon is defined over shares or contracts. The volume participation strategy is assumed to participate in 5% of the volume. The figure is drawn for state variables: σ ̂=1,000, V_σ=10,000, m=1,000, [¯S-▁S]=10,000, λ=0.05 and φ[|m|]=1. |
| Date | |
| Source | Own work |
| Author | PaulTheOctopus |
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| Date/Time | Thumbnail | Dimensions | User | Comment | |
|---|---|---|---|---|---|
| current | 22:51, 14 April 2012 | | 5,697 × 4,138 (766 KB) | wikimediacommons>PaulTheOctopus |
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_of_a_trading_order.jpg){kind=link}