Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact
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Publication:5080132
DOI10.1137/20M1375486zbMath1489.91238arXiv2002.09549OpenAlexW3006879552MaRDI QIDQ5080132
Publication date: 31 May 2022
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2002.09549
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
Related Items (5)
Price impact on term structure ⋮ A Mean-Field Game of Market-Making against Strategic Traders ⋮ Trading with the crowd ⋮ Optimal investment with a noisy signal of future stock prices ⋮ Optimal Execution: A Review
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