Optimal trading with transaction costs and short-term predictability
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Publication:6053124
DOI10.1080/14697688.2023.2222158zbMATH Open1522.91247OpenAlexW4382049140MaRDI QIDQ6053124FDOQ6053124
Shashidhar Murthy, Author name not available (Why is that?)
Publication date: 25 September 2023
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2023.2222158
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Cites Work
Cited In (8)
- Almost log-optimal trading strategies for small transaction costs in model with stochastic coefficients
- Improved approximation to first-best gains-from-trade
- Profitable informed trading in a simple general equilibrium model of asset pricing
- Optimal trading of a security when there are taxes and transaction costs
- Admissible Trading Strategies Under Transaction Costs
- OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT
- Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact
- Optimal dynamic basis trading
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