Optimal Trading with Alpha Predictors

Preprint English OPEN
Filippo Passerini; Samuel E. Vazquez;
(2015)
  • Subject: Quantitative Finance - Trading and Market Microstructure

We study the problem of optimal trading using general alpha predictors with linear costs and temporary impact. We do this within the framework of stochastic optimization with finite horizon using both limit and market orders. Consistently with other studies, we find tha... View more
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