Optimal Trading with Signals and Stochastic Price Impact
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Publication:5097223
DOI10.1137/21M1394473zbMath1498.91415arXiv2101.10053OpenAlexW3122693291MaRDI QIDQ5097223
Sebastian Jaimungal, Yuri F. Saporito, Jean-Pierre Fouque
Publication date: 22 August 2022
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2101.10053
Optimal stochastic control (93E20) Singular perturbations of ordinary differential equations (34D15) Financial markets (91G15)
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- Smooth solutions to portfolio liquidation problems under price-sensitive market impact
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- Algorithmic Trading with Model Uncertainty
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- Multiscale Stochastic Volatility Asymptotics
- Stochastic Volatility Corrections for Interest Rate Derivatives
- Optimal Trading with Stochastic Liquidity and Volatility
- Optimal Trading with Differing Trade Signals
- Optimal trade execution for Gaussian signals with power-law resilience
- PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS
- Optimal trade execution in order books with stochastic liquidity
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