Algorithmic Trading: Implementing PVol in Discrete Time Open Access

[摘要] This thesis considers PVol (Percentage of Volume) strategies, which are an often used type of algorithmic trading strategies. In a PVol strategy, the broker aims to bring the order execution speed in line with a percentage of the market volume. This target percentage and the total order size are typically given by the client. In a discrete-time setting, we analyze the optimization problem of minimizing the expected deviations between the realized portion of trading and the target percentage. Under different assumptions, we either solve the problem explicitly or implement a numerical solution in MATLAB.

[发布机构] University of Alberta

[效力级别] Percentage Volume