Imperial College London
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Dr Eyal Neuman

Faculty of Natural Sciences, Department of Mathematics

Reader of Mathematics
 
 
 
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Contact

 

e.neumann Website CV

 
 
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Location

 

802Weeks BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Bellani:2021:10.1142/S242478632050022X,
author = {Bellani, C and Brigo, D and Done, A and Neumann, E},
doi = {10.1142/S242478632050022X},
journal = {International Journal of Financial Engineering},
title = {Optimal trading: the importance of being adaptive},
url = {http://dx.doi.org/10.1142/S242478632050022X},
volume = {8},
year = {2021}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - We compare optimal static and dynamic solutions in trade execution. An optimal trade execution problem is considered where a trader is looking at a short-term price predictive signal while trading. When the trader creates an instantaneous market impact, it is shown that transaction costs of optimal adaptive strategies are substantially lower than the corresponding costs of the optimal static strategy. In the same spirit, in the case of transient impact, it is shown that strategies that observe the signal a finite number of times can dramatically reduce the transaction costs and improve the performance of the optimal static strategy.
AU  - Bellani,C
AU  - Brigo,D
AU  - Done,A
AU  - Neumann,E
DO  - 10.1142/S242478632050022X
PY  - 2021///
SN  - 2424-7863
TI  - Optimal trading: the importance of being adaptive
T2  - International Journal of Financial Engineering
UR  - http://dx.doi.org/10.1142/S242478632050022X
UR  - https://www.worldscientific.com/doi/abs/10.1142/S242478632050022X
UR  - http://hdl.handle.net/10044/1/80467
VL  - 8
ER  -
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