Discrete Dynamics in Nature and Society / 2018 / Article / Tab 3

Research Article

Optimal Trade Execution under Jump Diffusion Process: A Mean-VaR Approach

Table 3

Optimal trading results.

MeanStandard deviation95% confidence intervalTdfSig.
lower limitupper limit

Risk neutral versus Random-2,327,861.002,870,953.99-2,407,457.99-2,248,263.99-57.334999.000
Risk neutral versus TWAP-698,397.972,799,931.52-776,025.44-620,770.44-17.644999.000
Mean-Va versus Mean-VaR-2,210,124.22770,966.15-2,231,499.09-2,188,749.34-202.714999.000

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