2016/03/21 by Richard J Martin
Economics, Econometrics and Finance · #q-fin.TR
published as RISK 27(8):54-59 (2014) · arXiv admin note: text overlap with arXiv:1204.6488
arxiv created 2016/03/21 · arxiv updated 2016/03/22
The theory of optimal trading under proportional transaction costs has been considered from a variety of perspectives. In this paper, we show that all the results can be interpreted using a universal law, illustrating the results in trading algorithm design.