PT - JOURNAL ARTICLE AU - Anatoly B. Schmidt TI - Optimal Execution in the Global FX Market AID - 10.3905/jot.2010.5.3.068 DP - 2010 Jun 30 TA - The Journal of Trading PG - 68--77 VI - 5 IP - 3 4099 - https://pm-research.com/content/5/3/68.short 4100 - https://pm-research.com/content/5/3/68.full AB - This article expands the Almgren-Chriss framework for optimal slicing of large orders on the global institutional FX spot market. The approach differs from the extant work in two main points. First, the kth child order is executed not at price Sk (as is assumed in the known literature), but at the volume-weighed average price, SVWAP k , which for a sell order is in the interval Sk < SVWAP k = Sk-1 . Second, the author finds that the order market impact has power-law decay and incorporates it into the model. He calibrates the model with the EBS market data for EUR/USD in February 2009 and presents examples of execution schedules for different slicing intervals and risk aversion parameters.TOPICS: Global markets, statistical methods, VAR and use of alternative risk measures of trading risk