Abstract.

We present a trading execution model of professional trader and retail traders on financial market [1]. The behavior of retail traders is described by a system of PDE’s that, by some assumptions, can be reduced to ODE’s system. The optimal strategy of professional trader is based on optimal control theory.

Keywords:

Bellman equation, Fokker-Planck equation, optimal control, Riccati equations.

PP. 88-91.

References

1. Fatone L., Mariani F., Recchioni M.C. and Zirilli F. (2014) A Trading Executional Model Based on Mean Field Games and Optimal Control. Applied Mathematics, 5, 3091-3116.
2. Pontryagin L.S., Boltyansky V.G., Gamkrelidze R.V., Mishchenko E.F. Mathematical theory of optimal processes (in Russian). Moscow: Nauka, 1983.