Bond execution models

While research on the optimal execution of equity trading has become popular, a study of this kind has not yet been done with regard to the bond market. In this article, Koichi Miyazaki presents a bond execution model that incorporates the strong correlation between bonds and the nature of cross-impacts. He clarifies the bond-specific nature through a numerical example involving the trade-off between the cost and risk associated with the execution of bond portfolios, and also presents an estimation technique

Click Here To Download PDF

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

Most read articles loading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here