medium · Market Microstructure market-impact
In the Almgren-Chriss framework, as a trader's risk aversion (λ_risk) increases, the optimal execution trajectory:
- Becomes more back-loaded (trading more near the end).
- Matches the TWAP (Time-Weighted Average Price) schedule.
- Shifts entirely to the closing auction.
- Becomes more front-loaded (trading faster early on).
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