Universal trading under proportional transaction costs

Richard J Martin

Papers from arXiv.org

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.

Date: 2016-03
New Economics Papers: this item is included in nep-mst
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Citations: View citations in EconPapers (1)

Published in RISK 27(8):54-59 (2014)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1603.06558

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