In this paper, we solve a continuous-time portfolio choice problem of an investor under a Markov jump linear system that effectively captures stochasticity in asset returns, price impacts, and market resilience. Specifically, the investor chooses his portfolio to maximize the expected excess...

This work studies the long-range dependence of retail trading in the stock market. Strong evidence is found for the presence of long memory in retail trading activity, and this finding is robust to the choice of retail trade identification criteria and statistical estimators for the memory...

This paper investigates the strategic interaction of information acquisition and noise trading patterns, as well as its significant implications in market equilibrium outcomes. We consider a market where the strategic trader can dynamically acquire costly information about an asset's payoff via...

This paper investigates the strategic interaction of information acquisition and noise trading patterns, as well as its significant implications in market equilibrium outcomes. We consider a market where the strategic trader can dynamically acquire costly information about an asset's payoff via...

This paper studies a robust portfolio choice problem with return predictability and price impacts in continuous time. Asset returns are modeled by some stochastic factors and trades incur both transient and permanent price impacts. Assuming ambiguity aversions toward asset returns and...