Optimal trading strategies in competition; the Neil A. Chriss optimisation model
Vincelli D'Anna, Adriano (A.A. 2024/2025) Optimal trading strategies in competition; the Neil A. Chriss optimisation model. Tesi di Laurea in Derivatives, Luiss Guido Carli, relatore Sara Biagini, pp. 75. [Master's Degree Thesis]
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Abstract/Index
Introduction of the Chriss model. Market impact. Total cost functions & sensitivity. K-regimes. Passive vs active optimization. Chriss model with volatility. Standard trading approaches & benchmarks. Simple moving averages. VWAP approach. VWAP total cost function for k-regimes. Performance analysis for cost efficiency. Cost functions time discretization. Liquid vs illiquid scenarios with Monte Carlo method. Liquid vs illiquid scenarios with historical data.
References
Bibliografia: pp. 69-75.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Derivatives |
| Thesis Supervisor: | Biagini, Sara |
| Thesis Co-Supervisor: | Marchisio, Valerio |
| Academic Year: | 2024/2025 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 24 Oct 2025 09:49 |
| Last Modified: | 24 Oct 2025 09:49 |
| URI: | https://tesi.luiss.it/id/eprint/43533 |
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