Managing inventory with proportional transaction costs

被引：1

作者：

Gallien, Florent ^{[1
]}

Kassibrakis, Serge ^{[1
]}

Malamud, Semyon ^{[2
,3
,4
]}

机构：

[1] Swissquote Bank, Gland, Switzerland

[2] Swiss Finance Inst, Zurich, Switzerland

[3] Ecole Polytech Fed Lausanne, Ecublens, Switzerland

[4] Ctr Econ Policy Res, London, England

来源：

MATHEMATICS AND FINANCIAL ECONOMICS | 2020年 / 14卷 / 01期

关键词：

Inventory management; Market making; Transaction costs; DYNAMIC PORTFOLIO CHOICE; EMPIRICAL-ANALYSIS; LIQUIDITY PREMIA; MARKET; INTERMEDIATION; CONSUMPTION; INVESTMENT; RETURNS; STOCK;

D O I：

10.1007/s11579-019-00248-8

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We solve the problem of optimal inventory management for a CARA market-maker who faces proportional transaction costs and marking to market. Our model accommodates inventory shocks following an arbitrary compound Poisson process. We show that the no-trading region is always wider in the presence of inventory shocks.

引用

收藏

页码：121 / 138

页数：18

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