Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: David vs Goliath (You against the Markets), A Dynamic Programming
  Approach to Separate the Impact and Timing of Trading Costs   We develop a fundamentally different stochastic dynamic programming model of
trading costs. Built on a strong theoretical foundation, our model provides
insights to market participants by splitting the overall move of the security
price during the duration of an order into the Market Impact (price move caused
by their actions) and Market Timing (price move caused by everyone else)
components. We derive formulations of this model under different laws of motion
of the security prices, starting with a simple benchmark scenario and extending
this to include multiple sources of uncertainty, liquidity constraints due to
volume curve shifts and relating trading costs to the spread. We develop a
numerical framework that can be used to obtain optimal executions under any law
of motion of prices and demonstrate the tremendous practical applicability of
our theoretical methodology including the powerful numerical techniques to
implement them. Our decomposition of trading costs into Market Impact and
Market Timing allows us to deduce the zero sum game nature of trading costs. It
holds numerous lessons for dealing with complex systems, wherein reducing the
complexity by splitting the many sources of uncertainty can lead to better
insights in the decision process.

27
The categories of this paper are: comp-gas
29
The categories of this paper are: funct-an
21
The categories of this paper are: adap-org
16
The categories of this paper are: stat
15
The categories of this paper are: nucl-ex
18
The categories of this paper are: econ
12
The categories of this paper are: nucl-th
32
The categories of this paper are: atom-ph
8
The categories of this paper are: hep-ex
23
The categories of this paper are: solv-int
37
The categories of this paper are: supr-con
4
The categories of this paper are: cond-mat
36
The categories of this paper are: cmp-lg
5
The categories of this paper are: gr-qc
22
The categories of this paper are: chao-dyn
31
The categories of this paper are: ao-sci