Optimal Execution with Stochastic and Deterministic Delay - SIAM FME Virtual Talk

Explore an advanced virtual talk on optimal execution strategies in financial markets with stochastic and deterministic delays. Delve into a groundbreaking study that introduces a new type of impulse control problem, accounting for random delays, price impact, and transaction costs in trading environments. Learn how traders utilize aggressive immediate execution limit orders (IELOs) to liquidate positions in the presence of marketplace latency. Examine the mathematical framework, including Hamilton-Jacobi-Bellman quasi-variational inequalities and partial differential equations, used to characterize value functions. Gain insights from high-frequency foreign exchange trade data implementations, comparing the random-latency-optimal strategy against various benchmarks. Understand the significant performance improvements achieved, particularly in the EUR/USD currency pair, where optimal strategies outperform benchmarks by up to 37 times the value of transaction fees paid by liquidity takers.