2 papers
q-fin.TR2023
Optimal execution and speculation with trade signals
Peter Bank, Álvaro Cartea, Laura Körber
We propose a price impact model where changes in prices are purely driven by the order flow in the market. The stochastic price impact of market orders and the arrival rates of lim…
math.OC2021
Merton's optimal investment problem with jump signals
Peter Bank, Laura Körber
This paper presents a new framework for Merton's optimal investment problem which uses the theory of Meyer -fields to allow for signals that possibly warn the investor about imp…