Optimal trade execution: an evolutionary approach

@article{Lim2005OptimalTE,
  title={Optimal trade execution: an evolutionary approach},
  author={Marcus Lim and Richard J. Coggins},
  journal={2005 IEEE Congress on Evolutionary Computation},
  year={2005},
  volume={2},
  pages={1045-1052 Vol. 2}
}
In this paper, transaction level order book data from the Australian Stock Exchange (ASX) is used to perform a detailed historical market simulation in order to back-test the performance of trade execution strategies. Against this backdrop, we explore whether genetic algorithms (GA) can help discover strategies that are optimal with respect to the VWAP benchmark measure of trade execution performance. The GA approach outperforms two naive strategies both in and out of sample and shows promise… CONTINUE READING