英文标题：
《On the design of sell-side limit and market order tactics》
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作者：
Vladimir Markov
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最新提交年份：
2014
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英文摘要：
  This article provides a novel framework to evaluate limit order tactics that highlights expected fill price, adverse price selection cost, and opportunity cost. We formulate the problem of optimal execution of market orders with nonlinear market impact, power law decay kernel, and stochastic and deterministic liquidity constraints. We demonstrate how these tactics can be incorporated in the uncertainty bands framework.
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中文摘要：
本文提供了一个评估限价订单策略的新框架，强调了预期填充价格、逆向价格选择成本和机会成本。我们建立了具有非线性市场冲击、幂律衰减核、随机和确定性流动性约束的市场订单最优执行问题。我们将展示如何将这些策略纳入不确定性框架。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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