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Optimal Trading with Signals and Stochastic Price Impact

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 نشر من قبل Sebastian Jaimungal
 تاريخ النشر 2021
  مجال البحث مالية
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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 super-solutions, 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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