Optimal Execution of Trading Strategies

Financial Markets represent complex systems where the dynamics between market participants drive the evolution of prevailing prices. For this reason, it is important for fund managers to understand how these market impacts shape liquidity, transaction costs and equilibrium returns. To cope with the vast uncertainties, the subject of stochastic control provides key insights and critical solution methods to inform on optimal decisioning. Accordingly, the primary objective of this project will be to model the optimal execution of trading strategies which seek to minimize incurred transaction costs. Cast under a stochastic differential framework, this project will expand upon recognized tractable models by exploring new parameter estimates and revised numerical schemes for efficient computation. The success of this project will be measured by the ability of the framework to summarize critical economic insights that can motivate trading strategies used in practice.

Faculty Supervisor:

Deepa Kundur

Student:

Partner:

Osaka University

Discipline:

Engineering

Sector:

Education

University:

University of Toronto

Program: