Jerome Busca’s Post

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Quant trader, portfolio manager & researcher Substack: @MaverickQuant

This week on MaverickQuant we examine the question of how to optimally sell Q > 0 shares, by time T, in the cheapest possible way, using a lit venue with linear market impact (only) and a dark pool. https://lnkd.in/eZBZivCg #masterclass #finance #quant #trading #onlineclasses

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Lit! Nice work Jerome! The formulation of the Hamilton-Jacobi-Bellman equation is effective in addressing the complexity of the problem. The assumptions made to simplify the dark pool execution are practical and help derive clear, actionable strategy. Love it.

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