Optimal Trading Strategy and Supply/Demand Dynamics
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The supply/demand of a security in the market is an intertemporal, not a static, object and its dynamics is crucial in determining market participants’ trading behavior. In this paper, we show that the dynamics of the supply/demand, rather than its static properties, is of . Request PDF | On Jan 1, , Anna A. Obizhaeva and others published Optimal Trading Strategy and Supply/Demand Dynamics | Find, read and cite all the research you need on ResearchGate. Request PDF | On Jan 1, , Anna A. Obizhaeva and others published Optimal Trading Strategy and Supply/Demand Dynamics | Find, read and cite all the research you need on ResearchGate.

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6/8/ · Optimal Trading Strategy and Supply/Demand Dynamics Anna Obizhaeva and Jiang Wang∗ First Draft: November 15, This Draft: June 8, Abstract The supply/demand of a security in the market is an intertemporal, not a static, object and its dynamics is crucial in determining market participants’ trading behavior. Previous. Optimal Trading Strategy and Supply/Demand Dynamics. Anna Obizhaeva and Jiang Wang. No , NBER Working Papers from National Bureau of Economic Research, Inc. Abstract: The supply/demand of a security in the market is an intertemporal, not a static, object and its dynamics is crucial in determining market participants' trading behavior. Previous studies on the optimal trading strategy to . 2/1/ · Our main goal is to demonstrate the importance of supply/demand dynamics in determining optimal trading strategies. The execution of orders is usually not costless. The execution prices are different from pre-trade benchmarks, since implemented transactions consume liquidity and change the remaining supply/blogger.com by:

Optimal Trading Strategy and Supply/Demand Dynamics - [PDF Document]
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Optimal trading strategy and supply/demand dynamics. Working paper (2006)

The supply/demand of a security in the market is an intertemporal, not a static, object and its dynamics is crucial in determining market participants' trading behavior. Previous studies on the optimal trading strategy to execute a given order focuses mostly on the static properties of the supply/demand. In this paper, we show that the dynamics of. Optimal Trading Strategy and Supply/Demand Dynamics Anna Obizhaeva and Jiang Wang⁄ First Draft: November 15, This Draft: February 8, Abstract The supply/demand of a security in the market is an intertemporal, not a static, object and its dynamics is crucial in determining market participants’ trading behavior. Previous. The supply or demand area now becomes the "price cap". The FTR CS is the CS with the shadow that is the closest to the supply or demand zone but has not penetrated it. 3. Confirmation of a valid FTR is that, the down trending price breaks the initial supply or demand area and forms a new supply or demand zone (zone 1 in the diagram).

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The supply/demand of a security in the market is an intertemporal, not a static, object and its dynamics is crucial in determining market participants’ trading behavior. In this paper, we show that the dynamics of the supply/demand, rather than its static properties, is of . 2/1/ · Our main goal is to demonstrate the importance of supply/demand dynamics in determining optimal trading strategies. The execution of orders is usually not costless. The execution prices are different from pre-trade benchmarks, since implemented transactions consume liquidity and change the remaining supply/blogger.com by: demand. We show that the optimal strategy to execute an order does not depend on the static properties of supply/demand such as bid–ask spread and market depth, it depends on their dynamic properties such as resilience: the speed at which supply/demand recovers to its steady state after a trade. In general, the optimal strategy is quite complex, mixing large and small trades, and can substantially .

EconPapers: Optimal Trading Strategy and Supply/Demand Dynamics
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Optimal Trading Strategy and Supply/Demand Dynamics (2006)

2/1/ · The supply/demand of a security in the market is an intertemporal, not a static, object and its dynamics are crucial in determining market participants' trading behavior. Previous studies on the optimal trading strategy to execute a given order focuses mostly on the static properties of Cited by: Optimal Trading Strategy and Supply/Demand Dynamics Anna Obizhaeva and Jiang Wang ∗ First Draft: November 15, This Draft: June 8, Abstract The supply/demand of a security in the market is an intertemporal, not a static, object and its dynamics is crucial in determining market participants’ trading behavior. Previous studies on the optimal trading strategy to execute a given . Optimal Trading Strategy and Supply/Demand Dynamics Anna Obizhaeva and Jiang Wang∗ First Draft: November 15, This Draft: April 8, Abstract The supply/demand.