{"id":"W1921068018","doi":"10.1111/mafi.12048","title":"OPTIMAL EXECUTION OF A VWAP ORDER: A STOCHASTIC CONTROL APPROACH","year":2013,"lang":"en","type":"article","venue":"Mathematical Finance","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":71,"is_retracted":false,"has_abstract":true,"ca_institutions":"","funders":"Natural Sciences and Engineering Research Council of Canada","keywords":"Volume-weighted average price; Stochastic control; Econometrics; Position (finance); Trading strategy; Order (exchange); Mathematical optimization; Algorithmic trading; Economics; Optimal control; Computer science; Mathematics; Stock market; Financial economics; Market maker; Finance","routes":{"ca_aff":false,"ca_fund":true,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":true},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"codex-gemma-dda1882f352a","candidate_categories":["insufficient_payload"],"consensus_categories":[],"category_scores_codex":[0.0001953434,0.0001628463,0.0005252148,0.00008739385,0.00007811717,0.00003298828,0.0002699003,0.0001075179,0.0001846437],"category_scores_gemma":[0.0003599517,0.0001662635,0.00009830495,0.0004018147,0.0001406354,0.0001517936,0.00004431862,0.0001251246,0.001266239],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00003122105,"about_ca_system_score_gemma":0.00002383651,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.00006259111,"about_ca_topic_score_gemma":3.376407e-7,"domain_scores_codex":[0.998574,0.000003023637,0.0007162,0.0003465727,0.00005871736,0.0003015117],"domain_scores_gemma":[0.9990305,0.0001029842,0.0003385355,0.0003603395,0.0001092198,0.00005847144],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"theoretical_or_conceptual","study_design_scores_codex":[0.000007259775,0.0002659599,0.0000289713,0.00009660106,0.00001349325,1.661131e-7,0.0001803935,0.0009276214,0.00003243671,0.9977513,0.0001476867,0.000548125],"study_design_scores_gemma":[0.0005957414,0.00008094371,0.001458144,0.00003860706,0.00001074416,0.000008566643,0.00004905857,0.1907687,0.00002498697,0.8063629,0.0003664191,0.0002352588],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.02169723,0.0004963033,0.9677139,0.000313676,0.00004126277,0.0006319486,0.00007052447,0.00003870817,0.008996462],"genre_scores_gemma":[0.924805,0.000007621295,0.07414549,0.0000786734,0.00004754743,0.0006149406,0.000006237938,0.00002033279,0.0002741554],"genre_candidate":"methods","genre_consensus":null,"teacher_disagreement_score":0.9031078,"threshold_uncertainty_score":0.9995114,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.01715523925042848,"score_gpt":0.2071367168120951,"score_spread":0.1899814775616666,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}