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Randomization in Optimal Execution Games
Marcel Nutz / Steven Campbell
mathematical finance / optimal executionResource overview

Randomization in Optimal Execution Games

Paper2025

by Marcel Nutz, Steven Campbell

Tags
mathematical financeoptimal executiontransaction costs

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Suggested foundations for market microstructure and execution and options and derivatives pricing. Specialist prerequisites vary by paper.

Before you read

  1. Order Books

    Read bid, ask, depth and queue-based market state.

  2. Order Flow and Adverse Selection

    Understand why fills and order flow can carry information.

  3. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  4. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

Go further

  1. Market Impact

    Connect trading speed and size to execution cost.

  2. Implementation Shortfall

    Measure execution relative to the decision price.

  3. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

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