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Trading Strategies >> Research >> Optimal Trade Execution

Message started by Andy44 on 09/19/16 at 22:11:20

Title: Optimal Trade Execution
Post by Andy44 on 09/19/16 at 22:11:20

Hi All,

Looking to build some algos for optimal trade execution. Any good resources, a good starting point and perhaps some guidance?

So far I have got a few research papers on the subject. I have a bit of a bias towards evolutionary approaches / genetic algorithms.

Have also heard quite a lot about Agent-based modelling to simulate market impact and essentially test one's algos.

Is this the way to go?


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