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From Alpha to Execution: Trading Horizons, Regimes, and Schedules under Concave Impact and Hurst Scaling
90c2591g15mathematical-financeoptimization-and-controlportfolio-managementtrading-and-market-microstructure
Classical execution models assume linear impact, diffusive prices, and an exogenous horizon. We study execution under concave power-law impact and Hurst-scaled price fluctuations, and make two contributions. First, we choose the execution horizon by maximizing the Sharpe ratio of the trade's reali
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