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Optimal mean-reversion strategy in the presence of bid-ask spread and delays in capital allocations

Isaenko, Sergei - In: Quantitative finance 18 (2018) 12, pp. 2051-2065

Persistent link: https://www.econbiz.de/10012262965

Equilibrium theory of stock market crashes

Isaenko, Sergei - In: Journal of economic dynamics & control 60 (2015), pp. 73-94

Persistent link: https://www.econbiz.de/10011575075

Transaction costs, frequent trading, and stock prices

Isaenko, Sergei - In: Journal of financial markets 64 (2023), pp. 1-32

Persistent link: https://www.econbiz.de/10014466075

Portfolio choice under transitory price impact

Isaenko, Sergei - In: Journal of economic dynamics & control 34 (2010) 11, pp. 2375-2389

Persistent link: https://www.econbiz.de/10009008866

Transaction Costs, Frequent Trading, and Stock Prices

Isaenko, Sergey - 2020

Small transaction costs made frequent trading become a common practice among financial institutions and retail investors. Yet, the existing models of trading in the presence of transaction costs predict that trading should be infrequent. This study considers the effects of convex transaction...

Persistent link: https://www.econbiz.de/10012852608