具有交易成本和短期可预测性的最优交易

IF 1.5 4区经济学 Q3 BUSINESS, FINANCE Quantitative Finance Pub Date : 2023-06-26 DOI:10.1080/14697688.2023.2222158

Shashidhar Murthy, John K. Wald

{"title":"具有交易成本和短期可预测性的最优交易","authors":"Shashidhar Murthy, John K. Wald","doi":"10.1080/14697688.2023.2222158","DOIUrl":null,"url":null,"abstract":"We consider the problem of optimal dynamic trading in the presence of predictable returns and proportional transaction costs for an investor choosing among multiple assets. The value of each security equals the expected value of holding the asset plus the value of all options to trade. We provide exact trading rules for N-assets that follow an MA(1) process. Simulations demonstrate the impact of transaction costs, volatility, and predictability on optimal trading behavior. The optimal trading rule can substantially increase performance if transaction costs vary among assets.","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"48 1","pages":"1115 - 1127"},"PeriodicalIF":1.5000,"publicationDate":"2023-06-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Optimal trading with transaction costs and short-term predictability\",\"authors\":\"Shashidhar Murthy, John K. Wald\",\"doi\":\"10.1080/14697688.2023.2222158\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We consider the problem of optimal dynamic trading in the presence of predictable returns and proportional transaction costs for an investor choosing among multiple assets. The value of each security equals the expected value of holding the asset plus the value of all options to trade. We provide exact trading rules for N-assets that follow an MA(1) process. Simulations demonstrate the impact of transaction costs, volatility, and predictability on optimal trading behavior. The optimal trading rule can substantially increase performance if transaction costs vary among assets.\",\"PeriodicalId\":20747,\"journal\":{\"name\":\"Quantitative Finance\",\"volume\":\"48 1\",\"pages\":\"1115 - 1127\"},\"PeriodicalIF\":1.5000,\"publicationDate\":\"2023-06-26\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Quantitative Finance\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.1080/14697688.2023.2222158\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Quantitative Finance","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1080/14697688.2023.2222158","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

摘要

考虑在可预测收益和交易成本成比例的情况下，投资者在多种资产中进行选择的最优动态交易问题。每种证券的价值等于持有该资产的期望值加上所有可交易期权的价值。我们为遵循MA(1)流程的n种资产提供了精确的交易规则。模拟证明了交易成本、波动性和可预测性对最优交易行为的影响。当不同资产之间的交易成本不同时，最优交易规则可以显著提高交易绩效。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文

微信好友朋友圈 QQ好友复制链接

本刊更多论文

Optimal trading with transaction costs and short-term predictability

We consider the problem of optimal dynamic trading in the presence of predictable returns and proportional transaction costs for an investor choosing among multiple assets. The value of each security equals the expected value of holding the asset plus the value of all options to trade. We provide exact trading rules for N-assets that follow an MA(1) process. Simulations demonstrate the impact of transaction costs, volatility, and predictability on optimal trading behavior. The optimal trading rule can substantially increase performance if transaction costs vary among assets.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Quantitative Finance 社会科学-数学跨学科应用

CiteScore

3.20

自引率

7.70%

发文量

102

审稿时长

4-8 weeks

期刊介绍： The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.