Optimal Portfolio Liquidation with Limit Orders: how to optimally compute one sided quotes of a trading algorithm

(Last Updated On: April 24, 2012)

Optimal Portfolio Liquidation with Limit Orders, by Olivier Guéant, Charles-Albert Lehalle, Joaquin Fernandez Tapia is a new paper on how to optimally compute one sided quotes of a trading algorithm.

Optimal portfolio liquidation with limit orders arxiv.org

This paper addresses the optimal scheduling of the liquidation of a portfolio using a new angle. Instead of focusing only on the scheduling aspect like Almgren and Chriss, or only on the liquidity-consuming orders like Obizhaeva and


I like the reasoning underlying this paper

One query: On page 13 the authors state:
Since we do not explicitly take into account the underlying market, there is no market bid-ask spread in the model. Thus, we simply chose to calibrate 15 A and k as functions of the market bid-ask spread, making then an off-model hypothesis.

Is this a contradiction?, please expand …


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