3 papers
q-fin.TR2020
Insider Trading with Temporary Price Impact
Weston Barger, Ryan Donnelly
We model an informed agent with information about the future value of an asset trying to maximize profits when subjected to a transaction cost as well as a market maker tasked with…
q-fin.MF2020
Optimal Trading with Differing Trade Signals
Ryan Donnelly, Matthew Lorig
We consider the problem of maximizing portfolio value when an agent has a subjective view on asset value which differs from the traded market price. The agent's trades will have a…
q-fin.MF2019
Hedging Non-Tradable Risks with Transaction Costs and Price Impact
Alvaro Cartea, Ryan Donnelly, Sebastian Jaimungal
A risk-averse agent hedges her exposure to a non-tradable risk factor using a correlated traded asset and accounts for the impact of her trades on both factors. The effect…