dc.contributor.author Dang, Ngoc Minh dc.contributor.author Lehalle, Charles-Albert HAL ID: 12866 ORCID: 0000-0002-9978-9501 dc.contributor.author Bouchard, Bruno dc.date.accessioned 2009-11-16T08:35:12Z dc.date.available 2009-11-16T08:35:12Z dc.date.issued 2010 dc.identifier.uri https://basepub.dauphine.fr/handle/123456789/2442 dc.language.iso en en dc.subject Optimal impulse control, intra-day trading dc.subject.ddc 519 en dc.title Optimal control of trading algorithms: a general impulse control approach dc.type Communication / Conférence dc.contributor.editoruniversityother Chevreux Research;France dc.description.abstracten We 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.sponsorshipprivate oui en dc.subject.ddclabel Probabilités et mathématiques appliquées en dc.relation.conftitle 6th World Congress of the Bachelier Finance Society dc.relation.confcity Toronto dc.relation.confcountry CANADA dc.description.ssrncandidate non dc.description.halcandidate oui dc.description.readership recherche dc.description.audience International dc.date.updated 2017-12-22T09:22:39Z
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