Optimal Liquidation With Signals: The General Propagator Case
研究交易者利用价格预测信号进行最优清算的问题，考虑Volterra型传播子驱动的瞬时价格冲击，通过无限维随机控制方法得到最优交易策略的显式解，适用于含奇异性的价格冲击核。
ABSTRACT We consider a class of optimal liquidation problems where the agent's transactions create transient price impact driven by a Volterra‐type propagator along with temporary price impact. We formulate these problems as maximization of a revenue‐risk functionals, where the agent also exploits available information on a progressively measurable price predicting signal. By using an infinite dimensional stochastic control approach, we characterize the value function in terms of a solution to a free‐boundary ‐valued backward stochastic differential equation and an operator‐valued Riccati equation. We then derive analytic solutions to these equations, which yields an explicit expression for the optimal trading strategy. We show that our formulas can be implemented in a straightforward and efficient way for a large class of price impact kernels with possible singularities such as the power‐law kernel.