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Quantitative Finance · Begrippenlijst

Wat is Trading trajectory?

Definition 14.2 Microstructure and Execution · Hoofdstuk 14 — The Almgren–Chriss Framework

A trading trajectory is the quantity x(t)x(t) still to be traded at each time tt of the execution window [0,T][0,T], from x(0)=Xx(0)=X to x(T)=0x(T)=0; its trading rate is v(t)=−x˙(t)v(t)=-\dot x(t).

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