3 papers
stat.ML2026
Ornstein-Uhlenbeck Is Hard to Beat, Yet Superlinear Drift Ships Lower Transport Costs
Attila Lovas, Lóránt Nagy
Brešar and Mijatović \cite{bresar2025} show that Ornstein--Uhlenbeck diffusion is hard to beat in forward convergence under assumptions that exclude superlinear drift. We instead t…
q-fin.PM2025
On the utility problem in a market where price impact is transient
Lóránt Nagy, Miklós Rásonyi
We consider a discrete-time model of a financial market where a risky asset is bought and sold with transactions having a transient price impact. It is shown that the corresponding…
math.PR2020
Optimal long-term investment in illiquid markets when prices have negative memory
Miklós Rásonyi, Lóránt Nagy
In a discrete-time financial market model with instantaneous price impact, we find an asymptotically optimal strategy for an investor maximizing her expected wealth. The asset pric…