Quant Radio: Optimal Execution under Incomplete Information

How do high-frequency trading algorithms execute massive orders without crashing the market? In this episode, we break down cutting-edge research on optimal execution under incomplete information—unpacking the math, the strategies, and the real-world applications.

Learn about:
✅ The challenge of price impact in large trades
✅ How Hawkes processes help predict market trends
✅ The role of hidden liquidity and stochastic filtering
✅ Why concave price impact functions matter for execution strategies

Whether you're a trader, a finance enthusiast, or just curious about how markets work at lightning speed, this deep dive will change the way you think about liquidity, execution, and trading strategy.

Find the full research paper here: ⁠https://community.quantopian.com/c/community-forums/optimal-execution-under-incomplete-information⁠

For more quant-focused content, join us at ⁠⁠⁠⁠https://community.quantopian.com⁠⁠⁠⁠. There, you can explore a wealth of resources, connect with fellow quants, engage in insightful discussions, and enhance your skills through our extensive range of online courses.

Quant Radio is an AI-generated podcast, intended to help people develop their knowledge and skills in Quant finance. This podcast is not intended to provide investment advice.