Trading foreign exchange triplets
We develop the optimal trading strategy for a foreign exchange (FX) broker who must liquidate a large position in an illiquid currency pair. To maximize revenues, the broker considers trading in a currency triplet which consists of the illiquid pair and two other liquid currency pairs. The liquid pa...
| Principais autores: | , , |
|---|---|
| Formato: | Journal article |
| Idioma: | English |
| Publicado em: |
Society for Industrial and Applied Mathematics
2020
|