Calibration of optimal execution of financial transactions in the presence of transient market impact

Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A proper design of an optimal execution strategy strongly depends on a careful modeling of market impact, i.e. how the price reacts to trades. In this paper we consider a recently introduced market impact model (Bouchaud et al., 2004), which has the property of describing both the volume and the temporal dependence of price change due to trading. We show how this model can be used to describe price impact also in aggregated trade time or in real time. We then solve analytically and calibrate with real data the optimal execution problem both for risk neutral and for risk averse investors and we derive an efficient frontier of optimal execution. When we include spread costs the problem must be solved numerically and we show that the introduction of such costs regularizes the solution.Comment: 31 pages, 8 figure

Bottom Ashes From Waste Incineration Characterization: Concentration of Heavy Metals and Environmental Hazard

The Italian law about waste, has recently introduced (L. 28/2012) a new way to classify the waste, taking into account its Ecotoxicity (assignment of hazardous characteristic H14 according to ADR criteria). Pending EU guidelines, different procedures have been followed leading to distinct results in the hazardous characterization. The problem is particularly complex in the cases of bottom ashes because of the content of heavy metals potentially hazardous for environment. Due to the nature of bottom ash, it is very difficult to define the exact chemical species of an heavy metal. In order to classify the waste, this aspect is very important since different chemical species of the same metal present different concentration limits to assess the environmental hazard using additive methods. In this study, a comparison between available classification methods is performed, showing their applicability to bottom ashes. It is also shown how the results may change using CLP and ADR criteria

Bottom Ashes From Waste Incineration Characterization: Concentration of Heavy Metals and Environmental Hazard

The Italian law about waste, has recently introduced (L. 28/2012) a new way to classify the waste, taking into account its Ecotoxicity (assignment of hazardous characteristic H14 according to ADR criteria). Pending EU guidelines, different procedures have been followed leading to distinct results in the hazardous characterization. The problem is particularly complex in the cases of bottom ashes because of the content of heavy metals potentially hazardous for environment. Due to the nature of bottom ash, it is very difficult to define the exact chemical species of an heavy metal. In order to classify the waste, this aspect is very important since different chemical species of the same metal present different concentration limits to assess the environmental hazard using additive methods. In this study, a comparison between available classification methods is performed, showing their applicability to bottom ashes. It is also shown how the results may change using CLP and ADR criteria