Problem bank

Problem 245 of 333MediumCodingP245

Splitting an order across sessions

  1. A parent order is cut into nn child orders of sizes q1,…,qnq_1, \dots, q_n (in thousands of shares) that must be executed in this order over DD trading sessions. Each session takes a consecutive block of child orders. Choose the blocks to minimise the largest session total. For q=[4,8,3,6,5,2]q = [4, 8, 3, 6, 5, 2] and D=3D = 3, what is the answer, and how fast can you compute it in general?