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Optimal Execution with Quadratic Variation Inventories - BQE Lecture Series

Optimal Execution with Quadratic Variation Inventories - BQE Lecture Series

NYU Tandon School of Engineering via YouTube Direct link

Inventory Data

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Inventory Data

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Optimal Execution with Quadratic Variation Inventories - BQE Lecture Series

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  1. 1 Introduction
  2. 2 Motivation
  3. 3 Inventory Data
  4. 4 Statistical Tests
  5. 5 Modeling Optimal Execution
  6. 6 Optimal Execution Model
  7. 7 Example
  8. 8 Numerical Results
  9. 9 Approach
  10. 10 Discussion
  11. 11 Automated Trading
  12. 12 Audience Questions

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