easy · Market Microstructure
In the Almgren-Chriss model, what happens to the optimal execution trajectory as a trader's risk aversion increases?
- The trader only uses dark pools to hide the order completely.
- The trader waits until the end of the day to see where the price goes.
- The trajectory becomes more front-loaded to finish the trade sooner.
- The trajectory becomes a perfectly flat TWAP schedule.
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