Optimal trading: The importance of being adaptive
نویسندگان
چکیده
We compare optimal static and dynamic solutions in trade execution. An execution problem is considered where a trader looking at short-term price predictive signal while trading. When the creates an instantaneous market impact, it shown that transaction costs of adaptive strategies are substantially lower than corresponding strategy. In same spirit, case transient observe finite number times can dramatically reduce improve performance
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ژورنال
عنوان ژورنال: International journal of financial engineering
سال: 2021
ISSN: ['2424-7944', '2424-7863']
DOI: https://doi.org/10.1142/s242478632050022x