17 citations · 41 across the 8 of their papers we have counts for
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q-fin.TR2015★ 6 cited
Volume Weighted Average Price Optimal Execution
Enzo Busseti, Stephen Boyd
We study the problem of optimal execution of a trading order under Volume Weighted Average Price (VWAP) benchmark, from the point of view of a risk-averse broker. The problem consi…
q-fin.TR2012★ 17 cited
Calibration of optimal execution of financial transactions in the presence of transient market impact
Enzo Busseti, Fabrizio Lillo
Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due…