Optimal trade execution for Gaussian signals with power-law resilience
We characterize the optimal signal-adaptive liquidation strategy for an agent subject to power-law resilience and zero temporary price impact with a Gaussian signal, which can include e.g an OU process or fractional Brownian motion. We show that the optimal selling speed u∗t is a Gaussian Volterra...
| Главные авторы: | , , |
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| Формат: | Journal article |
| Язык: | English |
| Опубликовано: |
Taylor & Francis
2021
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