均值回归
随机控制
结对贸易
算法交易
经济
成交量加权平均价格
订单(交换)
随机过程
奇异摄动
市场影响
计量经济学
数学优化
最优控制
数学
计算机科学
交易策略
金融经济学
另类交易系统
市场微观结构
做市商
财务
股票市场
统计
数学分析
马
古生物学
生物
作者
Jean‐Pierre Fouque,Sebastian Jaimungal,Yuri F. Saporito
摘要
Trading frictions are stochastic. They are, moreover, in many instances fast mean-reverting. Here, we study how to optimally trade in a market with stochastic price impact and study approximations to the resulting optimal control problem using singular perturbation methods. We prove, by constructing sub- and supersolutions, that the approximations are accurate to the specified order. Finally, we perform some numerical experiments to illustrate the effect that stochastic trading frictions have on optimal trading.
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