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What is Linear Strategies for Nonlinear Price Impact about?

This paper addresses the challenge of optimizing trading strategies in the presence of nonlinear price impacts, which are often modeled by a power law. The authors demonstrate that linear trading strategies can achieve nearly optimal performance for nonlinear impacts by appropriately selecting an effective quadratic cost parameter, resulting in performance losses of less than 2% compared to more complex numerical methods. The findings suggest that these linear strategies can serve as effective tools for man

Author

Shreyash Nayak

Language

EN