RT Journal Article SR Electronic T1 On the Design of Sell-Side Limit and Market Order Tactics JF The Journal of Trading FD Institutional Investor Journals SP 29 OP 39 DO 10.3905/jot.2012.7.3.029 VO 7 IS 3 A1 Vladimir Markov YR 2012 UL https://pm-research.com/content/7/3/29.abstract AB This article provides a novel framework to evaluate limit order tactics that highlights expected fill price, adverse price selection cost, and opportunity cost. We formulate the problem of optimal execution of market orders with nonlinear market impact, power law decay kernel, and stochastic and deterministic liquidity constraints. We demonstrate how these tactics can be incorporated in the uncertainty bands framework.TOPICS: Statistical methods, risk management