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Paper detail

Equations and Shape of the Optimal Band Strategy

We consider the problem of the optimal trading strategy in the presence of a price predictor, linear trading costs and a quadratic risk control. The solution is known to be a band system, a policy that induces a no-trading zone in the positions space. Using a path-integral method introduced in a previous work, we give equations for the upper and lower edges of this band, and solve them explicitly in the case of an Ornstein-Uhlenbeck predictor. We then explore the shape of this solution and derive its asymptotic behavior for large values of the predictor, without requiring trading costs to be small.

preprint2020arXivOpen access
Joachim de LatailladeAyman Chaouki
q-fin.MF
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Joachim de LatailladeAyman Chaouki

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