Simulated the optimal strategy for block order execution problem using stochastic optimal control approach involving dynamic programming principle and the Hamilton-Jacobi Bellman (HJB) equation. Benchmarked the strategy with TWAP to show out-performance under linear price impact (temporary and permanent) and arithmetic Brownian stock dynamics assumption. For detailed theoretical proof: Chapter 6 of Algorithmic and High-Frequency Trading by Jaimungal et al.
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Simulated the optimal strategy for block order execution problem using stochastic optimal control approach. Benchmarked the strategy with TWAP to show out-performance.
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