Dynamic trading with Markov liquidity switching

DOI10.1016/J.AUTOMATICA.2023.111156MaRDI QIDQ6165331zbMATH OpenOpenAlexFDO

Authors Guiyuan Ma, Chi Chung Siu, Sheung Chi Phillip Yam, Zeyu Zhou

Publication date 31 July 2023

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.automatica.2023.111156

zbMATH Keywords

dynamic tradingMarkov switchingMarkovian jump systemmatrix Riccati differential systemprice distortionstemporary and permanent price impacts

Mathematics Subject Classification ID

Jump processes on discrete state spaces (60J74) Portfolio theory (91G10)

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Cited in

(4)

• Multi-dimensional optimal trade execution under stochastic resilience
• Dynamic trading with Markov liquidity switching
• Pricing American options with exogenous and endogenous transaction costs
• Dynamic trading policies with price impact

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