Universal trading under proportional transaction costs
Trading and Market Microstructure
2016-03-22 v1
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.
Cite
@article{arxiv.1603.06558,
title = {Universal trading under proportional transaction costs},
author = {Richard J Martin},
journal= {arXiv preprint arXiv:1603.06558},
year = {2016}
}
Comments
arXiv admin note: text overlap with arXiv:1204.6488