Counting the Costs: Minimising Total Price Impact Over Sequences of Trades

Minimising transaction costs is important for best execution. While existing research minimises the cost of a single trade, our results optimise the combined execution cost of two sequential orders.

Trading moves prices. This statement has been an immutable law of financial markets since time immemorial. All trades generate price impact – with buys pushing prices up, sells pushing prices down, and later trades experiencing impact from those that have gone before.

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