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Efficient Computation of Optimal Trading Strategies
Efficient Computation Optimal Trading Strategies
2010/10/21
Given the return series for a set of instruments, a \emph{trading strategy} is a switching function that transfers wealth from one instrument to another at specified times. We present efficient algor...
The Trader's Dilemma: Trading Strategies and Endogenous Pricing in an Illiquid Market
Trading Strategies Endogenous Pricing an Illiquid Market
2010/7/2
We investigate a large trader's trading strategies in a decentralized market, in which all traders are subject to type switching. This trader has pressure to liquidate her position by the end of the h...