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Robust Order Execution Under Box Uncertainty Sets

Authors Feng, Yiyong HKUST affiliated (currently or previously)
Perez Palomar, Daniel View this author's profile
Rubio, Francisco
Issue Date 2013
Source The 47th Asilomar Conference on Signals, Systems and Computers, Pacific Grove, California, USA , 4-7 Nov 2013, p. 44-48
Summary Order execution for algorithmic trading has been studied in the literature as a means of determining the optimal strategy by minimizing a trade-off between expected execution cost and risk. However, the variance has been recognized not to be practical since it is a symmetric measure of risk and, hence, penalizes the low-cost events. In this paper, we propose the use of the conditional value-at-risk (CVaR) of the execution cost as risk measure for the multiple assets case order execution problem. In addition, for the particular box-type parameter estimation errors, we extend both the existing mean-variance approach and our proposed CVaR approach to their robust designs.
ISSN 1058-6393
ISBN 978-1-4799-2390-8
Language English
Format Conference paper
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