Optimal trading under proportional transaction costs

The theory of optimal trading under proportional transaction costs has been considered from a variety of perspectives. In this paper, Richard Martin shows that all results can be interpreted using a universal law through trading algorithm design



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. The purpose of this

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here