2 papers
q-fin.TR2016
Optimality of VWAP Execution Strategies under General Shaped Market Impact Functions
Takashi Kato
In this short note, we study an optimization problem of expected implementation shortfall (IS) cost under general shaped market impact functions. In particular, we find that an opt…
math.PR2013
Stock Price Fluctuations in an Agent-Based Model with Market Liquidity
Takashi Kato
We study an agent-based stock market model with heterogeneous agents and friction. Our model is based on that of Foellmer-Schweizer(1993): The process of a stock price in a discret…