  In the present work we develop a formalism to tackle the problem of optimal
execution when trading market securities. More precisely, we introduce a
utility function that balances market impact and timing risk, with this last
being modelled as the very negative transaction costs incurred by our order
execution. The framework is built upon existing theory on optimal trading
strategies, but incorporates characteristics that enable distinctive execution
strategies. The formalism is complemented by an analysis of various impact
models and different distributional properties of market returns.
