Universal trading under proportional transaction costs
Richard J Martin
TL;DR
This paper introduces a universal law for optimal trading under proportional transaction costs, unifying various theoretical results and guiding trading algorithm design.
Contribution
It presents a universal law that interprets existing results in optimal trading under proportional costs, offering a unified framework.
Findings
Unified interpretation of optimal trading results
Guidance for trading algorithm design
Theoretical foundation for proportional transaction costs
Abstract
The theory of optimal trading under proportional transaction costs has been considered from a variety of perspectives. In this paper, we show that all the results can be interpreted using a universal law, illustrating the results in trading algorithm design.
Peer Reviews
No public reviews on file for this paper yet. If you reviewed it on a platform where reviews are public (OpenReview, ICLR, NeurIPS, ICML), you can paste yours below so the community can read it here.
Videos
No videos yet. Explain this paper in a talk, walkthrough, or lecture? Add one.
Taxonomy
TopicsEconomic theories and models · Stochastic processes and financial applications · Auction Theory and Applications