Trading with small nonlinear price impact
نویسندگان
چکیده
منابع مشابه
Optimal Execution with Nonlinear Impact Functions and Trading-Enhanced Risk
We determine optimal trading strategies for liquidation of a large single-asset portfolio to minimize a combination of volatility risk and market impact costs. We take the market impact cost per share to be a power law function of the trading rate, with an arbitrary positive exponent. This includes, for example, the square-root law that has been proposed based on market microstructure theory. I...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2020
ISSN: 1050-5164
DOI: 10.1214/19-aap1513