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From Alpha to Execution: Trading Horizons, Regimes, and Schedules under Concave Impact and Hurst Scaling

Dnyanesh Kulkarni, Revant Nayar · 2026 · arXiv (Cornell University)

DOI: 10.48550/arxiv.2610.23749 · cited by 0 works (OpenAlex) · open-access PDF

Japanese

クラシックスパイプスプライムの実行スケジュールは、WAPの全体的なスケジュールは、線形効果、ディフューシブコスト価格、およびエクソゲノイズホリゾンを仮定します。我々は、コンカブパワー法の影響下での実行を研究し、Hurstスケール価格の変動をよりゆっくりと減らすため、およびコンカブが2つの貢献をする。第一に、我々は、実行ホリゾンは、実行している間にアルファを実現するために、シャープコストの比率を最大化することによって選択します。問題は、実行ウィンドウで実現した2つの量の兆候によって支配されます: (i)実行ウィンドウの最大耐久性は、P&

Machine translation (Meta M2M100); the English original follows.

Abstract

Classical execution models assume linear impact, diffusive prices, and an exogenous horizon. We study execution under concave power-law impact and Hurst-scaled price fluctuations, and make two contributions. First, we choose the execution horizon by maximizing the Sharpe ratio of the trade's realized P&L. Price moves during the execution window are part of that P&L, so executing more slowly reduces its variance, and because impact is concave it can also lower cost per share. Urgency comes only from alpha realized while the order is being worked. The problem is governed by the signs of two quantities: (i) the duration elasticity of impact $a$, which under a structural prior equals the impact-persistence gap $β- H$ and can take either sign; and (ii) the net urgency $ν$, the rate of alpha realization net of exposure relief. When $ν$ keeps its sign over the window, an interior optimum exists, to leading order in $T/t_f$, only when both are positive; otherwise the order should be worked at the fastest or slowest admissible pace. In the interior regime the first-order condition involves no impact coefficient, order size or volume, and the objective is flat: for a large-cap example, the window within 1% of maximal Sharpe spans more than an order of magnitude. Second, given the window, we derive the schedule shape by convex programming under an envelope cost. For any increasing per-share cost of delay $w(t)$, the KKT solution is $ϕ\propto (λ- w(t))_+^{1/β}$. For a Hurst-scaled envelope $w \propto t^H$, the normalized schedule depends only on $(β, H)$, has a closed form via the incomplete beta function, is front-loaded, and tapers smoothly to zero, saving 10-17% of envelope cost relative to a constant-rate (TWAP) schedule of equal duration. Whether it uses the whole window depends on a single dimensionless robustness level, for which we give a calibration.

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Topics: Regular polygon, Mathematical optimization, Mathematics, Scaling, Scheduling (production processes), Schedule

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