Optimal Transaction Filters under Transitory Trading Opportunities: Theory and Empirical Illustration
If transitory profitable trading opportunities exist, filter rules are used to mitigate transaction costs. We use a dynamic programming framework to design an optimal filter which maximizes after-cost expected returns. The filter size depends crucially on the degree of persistence of trading opportu...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2004
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| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research_smu/14 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1013&context=lkcsb_research_smu |
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| Institution: | Singapore Management University |
| Language: | English |