Optimal trading under proportional transaction costs


CLICK HERE TO VIEW THE PDF In this paper, we consider how to `optimally' deal with proportional transaction costs when trading a single asset that follows an arbitrary diffusion process. Many of the superficial differences between the various strands of research are unimportant, and there is a universal law that we formally publish here. Although the literature on the subject is reasonably large, there is very little on applications in systematic trading algorithm design.