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Quantitative Finance · शब्दावली

Adaptive execution, aggressive-in-the-money strategy क्या है?

अन्य नाम: adaptive execution · aggressive-in-the-money strategy

Definition 15.2 Microstructure and Execution · अध्याय 15 — Beyond Almgren–Chriss

An adaptive execution changes its schedule with the price’s path during the order. An aggressive-in-the-money strategy trades faster when the price has moved in the order’s favour (up for a seller) and slower when it has moved against it.

The aggressive-in-the-money rule for increasing adaptation a=0 (static), 0.25, 0.5, 1 and 2: it trades mean cost for lower risk, with the best certainty equivalent near a=1 at this risk aversion. 3 000 simulated days. Data: mx_beyond.aim_grid.
Figure 15.2. The aggressive-in-the-money rule for increasing adaptation a=0a=0 (static), 0.25, 0.5, 1 and 2: it trades mean cost for lower risk, with the best certainty equivalent near a=1a=1 at this risk aversion. 3 000 simulated days. Data: mx_beyond.aim_grid.
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