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dc.contributor.authorDang, Ngoc Minh
dc.contributor.authorLehalle, Charles-Albert
HAL ID: 12866
ORCID: 0000-0002-9978-9501
dc.contributor.authorBouchard, Bruno
dc.date.accessioned2009-11-16T08:35:12Z
dc.date.available2009-11-16T08:35:12Z
dc.date.issued2010
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/2442
dc.language.isoenen
dc.subjectOptimal impulse control, intra-day trading
dc.subject.ddc519en
dc.titleOptimal control of trading algorithms: a general impulse control approach
dc.typeCommunication / Conférence
dc.contributor.editoruniversityotherChevreux Research;France
dc.description.abstractenWe propose a general framework for intra-day trading based on the control of trading algorithms. Given a generic parameterized algorithm, we control the dates $(\tau_i)_i$ at which it is launched, the length $(\delta_i)_i$ of the trading period and the value of the parameters $(\Ec_i)_i$ kept during the time interval $[\tau_i,\tau_i\p \delta_i[$. This gives rise to a non-classical impulse control problem where not only the regime $\Ec_i$ but also the period $[\tau_i,\tau_i\p \delta_i[$ has to be determined by the controller at the impulse time $\tau_i$. We adapt the {\sl weak dynamic programming principle} of Bouchard and Touzi (2009) to our context and provide a characterization of the associated value function as a discontinuous viscosity solution of a system of PDEs with appropriate boundary conditions, for which we prove a comparison principle. We also propose a numerical scheme for the resolution of the above system and show that it is convergent. We finally provide an example of application to a problem of optimal stock trading with a non-linear market impact function.
dc.description.sponsorshipprivateouien
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.conftitle6th World Congress of the Bachelier Finance Society
dc.relation.confcityToronto
dc.relation.confcountryCANADA
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.date.updated2017-12-22T09:22:39Z


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