Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 10 of 10 for “"Execution Costs"”.
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An approximate dynamic programming approach to risk sensitive control of execution costs
We study the problem of optimal execution within a dynamic programming framework. Given an exponential objective function, system variables which are normally distributed, and linear market dynamics, we derive a closed form solution for optimal trading trajectories. We show that a trader lacking …
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THREE ESSAYS ON NYSE SPECIALIST STRATEGIES
… in terms of quotes, depths, spreads and execution costs. We find that, as the trading frequency increases, order processing costs increase for both the specialist firms and individual specialist portfolios, which is consistent with the hypothesis that profits from active stocks subsidize …
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Portfolio Liquidity Risk Management with Expected Shortfall Constraints
… valuation. In the second study, we quantify the execution costs and the revenue risk when implementing trading strategies over multiple periods by employing the transaction costs measure of Garleanu and Pedersen (2013). The portfolio liquidity costs estimated from the model of Garleanu and …
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Essays on the Microfoundations of Asset Liquidity and Resale Premia
… stability. Increases in inflation or posting costs reduce quoting intensity, widen the distribution of executable prices, and raise the probability of trading breakdowns. The model replicates key post-crisis patterns such as wider spreads, higher execution costs, and an increased likelihood of …
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Essays on the Microfoundations of Asset Liquidity and Resale Premia
… stability. Increases in inflation or posting costs reduce quoting intensity, widen the distribution of executable prices, and raise the probability of trading breakdowns. The model replicates key post-crisis patterns such as wider spreads, higher execution costs, and an increased likelihood of …
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Workload Management for Data-Intensive Services
… optimizer that can generate an efficient execution plan for a given workflow. There are a number of challenges when building a cost-based optimizer for data-parallel workflows, which includes characterizing the large execution plan space, developing cost models to estimate the execution …
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Building a columnar database on shared main memory-based storage
… encapsulates data access and operator execution via an interface which allows seamless switching between local and remote main memory, while RAMCloud provides not only storage capacity, but also processing power. Combining both aspects allows pushing-down the execution of database …
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Price volatility and liquidity cost in grain futures markets
… essay is the first paper to analyze liquidity costs in agricultural futures markets based on the observed bid-ask spread (BAS) faced by market participants. Using the order book for electronically-traded corn futures contracts, this study reveals a highly liquid corn market, which with few …
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Improving Automated Android Test Generation
… events and complex user inputs. Second, the test execution is extremely time-consuming. This includes among other things the overhead associated with executing individual actions, intermediate restart operations as well as fitness evaluations. Since search-based algorithms require a substantial …
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Security market manipulations and the assurance of market integrity
… manipulation has a significant impact on execution costs. Therefore, the prevention of securities market manipulation not only serves the indirect purpose of improving an exchange’s reputation for market integrity but also contributes directly to achieving a more efficient marketplace. …