| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 961022 | Journal of Financial Markets | 2012 | 31 Pages |
Abstract
⺠We formulate strategic execution as a dynamic game with asymmetric information. ⺠We present an efficient algorithm for computing perfect Bayesian equilibrium. ⺠The trader's strategy differs significantly from one that is optimal without an arbitrageur. ⺠The trader must trade-off price impact against signaling. ⺠Optimized signaling can greatly reduce execution costs.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Ciamac C. Moallemi, Beomsoo Park, Benjamin Van Roy,