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Comment: The Optimal Price to Trade

Published online by Cambridge University Press:  06 April 2009

Edward M. Miller
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Extract

In the September 1975 issue of this Journal Ben Branch works out in detail an “optimal” strategy for an investor seeking to purchase or sell a security. The suggested strategy involves placing limit orders at specified prices and then waiting for the order to be filled. Hypothetical calculations indicate the magnitude of savings possible through use of the strategy. Ben Branch apparently accepts the standard random walk model and develops his theory around it. If one believes that the value of a stock is a constant and that prices fluctuate randomly, the treatment seems correct.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 14 , Issue 3 , September 1979 , pp. 645 - 647
Copyright
Copyright © School of Business Administration, University of Washington 1979

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References

REFERENCES

[1]Branch, Ben. “The Optimal Price to Trade.” Journal of Financial and Quantitative Analysis (09 1975).CrossRefGoogle Scholar
[2]Miller, Edward. “A Simple Counterexample to the Random Walk Theory.” Financial Analysts Journal (07/08 1979).CrossRefGoogle Scholar
[3]Miller, Edward. “How to Win at the Loser's Game.” Journal of Portfolio Management (Fall 1978), pp. 17–24.CrossRefGoogle Scholar