Optimal Trading with Alpha Predictors

Preprint English OPEN
Passerini, Filippo; Vazquez, Samuel E.;
  • 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
  • References (24)
    24 references, page 1 of 3

    [1] P. Guasoni and J. Muhle-Karbe, Portfolio Choice with Transaction Costs: a User's Guide, ParisPrinceton Lecture Notes in Mathematical Finance 2013, Lecture Notes in Mathematics Volume 2081, 169-201, Springer, 2013.

    [2] M. H. A. Davis and A. R. Norman, Portfolio Selection with Transaction Costs, Mathematics of Operations Research, 15(4):676-713, 1990.

    [3] S. E. Shreve and H. M. Soner, Optimal Investment and Consumption with Transaction Costs, The Annals of Applied Probability, 4(3):609-692, 1994.

    [4] H. M. Soner and N. Touzi, Homogenization and Asymptotics for Small Transaction Costs, SIAM Journal on Control and Optimization, 51(4), 2893-2921, 2013.

    [5] J. Kallsen and J. Muhle-Karbe, The General Structure of Optimal Investment and Consumption with Small Transaction Costs, arXiv:1303.3148, 2013.

    [6] M. Bichuch and R. Sircar, Optimal Investment with Transaction Costs and Stochastic Volatility, arXiv:1401.0562, 2014.

    [7] J. de Lataillade, C. Deremble, M. Potters and J. P. Bouchaud, Optimal Trading with Linear Costs, Journal of Investment Strategy, 1(3):91, 2012.

    [8] R. Martin and T. Schoneborn, Mean reversion pays, but costs, RISK, 96-10, 2011.

    [9] R. Martin, Optimal multifactor trading under proportional transaction costs, arXiv:1204.6488, 2012.

    [10] J.-P. Bouchaud, J. D. Farmer and F. Lillo, How markets slowly digest changes in supply and demand, in: Handbook of Financial Markets: Dynamics and Evolution, North-Holland, Elsevier, 2009.

  • Metrics
    No metrics available
Share - Bookmark