Optimal Execution Strategies: A Computational Finance Approach
MetadataShow full item record
In today's competitive business environment, strategies relating to market forecasting, decision making and risk management have received a lot of attention. The empirical results reveal that the market movement is not neutral to large orders. This makes the investors suffer from prohibitive execution costs. Hence, effective optimal execution strategies that assist investors on controlling market reaction are desperately demanded. However, most existing methods for analysing these strategies suffer from a serious weakness in that they fail to consider the impact of large orders on market price. In this thesis, the analysis of optimal execution strategies is conducted from the perspective of agent-based computational finance. This thesis introduces an artificial stock market composed of agents assigned with information sharing and trading strategies, and analyses the market impact and reaction when agents are assigned with optimal trading strategies, including minimum risk volume-weighted average price (VWAP) and implementation shortfall (IS) strategies. In addition, refinement has also been made to the IS strategy by replacing the linear temporary impact function with a quadratic one.
Showing items related by title, author, creator and subject.
Small Farms, Big Impacts: A Case Study in the Development of a Sustainable Farming Livelihood for Direct-Marketing Farmers in Southwestern Ontario, Canada Bumbacco, Amy (University of Waterloo, 2015-08-10)Direct-marketing farms play an important role in fostering healthy communities in an era of rapid climate change and unsustainable global agro-industrial practices. Canadian cities intimately depend on foodstuffs imported ...
The impact of cigarette package design on young women in Brazil: brand appeal and perceptions of health risk White, Christine (University of Waterloo, 2011-08-30)Tobacco use is responsible for 5.4 million deaths every year worldwide and a leading cause of preventable death. The burden of these deaths is rapidly shifting to low and middle-income countries, such as Brazil. Brazil is ...
Zhou, Ying (University of Waterloo, 2015-10-09)Sustainable community development has gained momentum in recent years in order to address complex environmental, social and economic problems at the local level. Municipalities and communities are also becoming interested ...