Universal trading under 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.

arXiv admin note: text overlap with arXiv:1204.6488

References in corpus (2)

• Optimal Trading with Linear and (small) Non-Linear Costs
• Mean Reversion Pays, but Costs

Cited by in corpus (1)

• Design and analysis of momentum trading strategies