Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact

DOI10.1137/20M1375486zbMath1489.91238arXiv2002.09549OpenAlexW3006879552MaRDI QIDQ5080132

Eyal Neuman, Moritz Voß

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

zbMATH Keywords

price impactoptimal stochastic controloptimal portfolio liquidationpredictive signal

Mathematics Subject Classification ID

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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