论文标题
最佳带策略的方程式和形状
Equations and Shape of the Optimal Band Strategy
论文作者
论文摘要
我们考虑在存在价格预测指标，线性交易成本和二次风险控制的情况下，最佳交易策略的问题。已知该解决方案是一个频带系统，该策略在位置空间中引起无交易区域。使用先前工作中引入的路径综合方法，我们为该频段的上和下边缘提供了方程，并在Ornstein-Uhlenbeck预测器的情况下明确解决了它们。然后，我们探索该解决方案的形状，并为大量预测变量而得出其渐近行为，而无需交易成本很小。
We consider the problem of the optimal trading strategy in the presence of a price predictor, linear trading costs and a quadratic risk control. The solution is known to be a band system, a policy that induces a no-trading zone in the positions space. Using a path-integral method introduced in a previous work, we give equations for the upper and lower edges of this band, and solve them explicitly in the case of an Ornstein-Uhlenbeck predictor. We then explore the shape of this solution and derive its asymptotic behavior for large values of the predictor, without requiring trading costs to be small.
