Autor:	de Lataillade, Joachim, Chaouki, Ayman
Rok vydání:	2020
Předmět:	Quantitative Finance - Mathematical Finance
Druh dokumentu:	Working Paper
Popis:	We consider the problem of the optimal trading strategy in the presence of a price predictor, linear trading costs and a quadratic risk control. The solution is known to be a band system, a policy that induces a no-trading zone in the positions space. Using a path-integral method introduced in a previous work, we give equations for the upper and lower edges of this band, and solve them explicitly in the case of an Ornstein-Uhlenbeck predictor. We then explore the shape of this solution and derive its asymptotic behavior for large values of the predictor, without requiring trading costs to be small. Comment: Adding a link to the references
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2003.04646 Zobrazit plný text záznamu View this record from Arxiv