The model of Bertsimas and Lo (1998) provides an approach to optimal order splitting One of the implications from this model is that a Variance of the trading cost rises as the total amount of shares in the order increases b Expected trading cost falls as the total amount of shares in the order inc...

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The model of Bertsimas and Lo (1998) provides an approach to optimal order splitting. One of the

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The model of Bertsimas and Lo (1998) provides an approach to optimal order splitting. One of the implications from this model is that:

Variance of the trading cost rises as the total amount of shares in the order increases

Expected trading cost falls as the total amount of shares in the order increases

If prices increase over time then there should be larger orders in later periods

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