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To slice up an order you can use several execution strategies. TWAP which will execute small slices of your order over a time period VWAP which will spread your order over time and try to minimize slippage against the vwap benchmark for a given instrument POV which will split your order up into smaller chunks and attempt to keep your order filled as a ...


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Most of the big players offer a suite of execution algorithms for big orders, as seen in this listing from Credit Suisse. Very generally speaking, the algorithms will have a pedigree going back to volume weighted average pricing schedules, or perhaps to the famous paper by Almgren and Chriss. They have various modifications, including use of "unusual" ...


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You might find something useful here: Is there a standard model for market impact? And Here's a decent paper about the cost impact on equities: http://www.cims.nyu.edu/~almgren/papers/costestim.pdf I would have added this as a comment but I don't have enough reputation


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To start with the simplest model maybe you could start by googling "Kyle's Lambda" and proceed from there.


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This is probably a nice paper you should refer to: Yogo, Koijen (2015) (link). They estimate an asset pricing model which endogenizes the price impact of large trades. It is a quite hard paper to grasp, so probably you do not want to start here, but is still one of the main references.



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