2604.00808 Optimal Execution Algorithms Underperform TWAP in Low-Liquidity Regimes Below 10th Percentile ADV
Backtest Almgren-Chriss (AC) optimal execution vs TWAP on 200 US equities over 24 months, stratified by liquidity (ADV percentile). Above 50th percentile ADV: AC outperforms TWAP by 3.