{"id":"https://openalex.org/W3122693291","doi":"https://doi.org/10.1137/21m1394473","title":"Optimal Trading with Signals and Stochastic Price Impact","display_name":"Optimal Trading with Signals and Stochastic Price Impact","publication_year":2022,"publication_date":"2022-08-11","ids":{"openalex":"https://openalex.org/W3122693291","doi":"https://doi.org/10.1137/21m1394473","mag":"3122693291"},"language":"en","primary_location":{"id":"doi:10.1137/21m1394473","is_oa":false,"landing_page_url":"https://doi.org/10.1137/21m1394473","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5051801244","display_name":"Jean\u2010Pierre Fouque","orcid":"https://orcid.org/0000-0001-8786-5645"},"institutions":[{"id":"https://openalex.org/I154570441","display_name":"University of California, Santa Barbara","ror":"https://ror.org/02t274463","country_code":"US","type":"education","lineage":["https://openalex.org/I154570441"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Jean-Pierre Fouque","raw_affiliation_strings":["Department of Statistics and Applied Probability, University of California, Santa Barbara, United States"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Statistics and Applied Probability, University of California, Santa Barbara, United States","institution_ids":["https://openalex.org/I154570441"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5016897782","display_name":"Sebastian Jaimungal","orcid":"https://orcid.org/0000-0002-0193-0993"},"institutions":[{"id":"https://openalex.org/I185261750","display_name":"University of Toronto","ror":"https://ror.org/03dbr7087","country_code":"CA","type":"education","lineage":["https://openalex.org/I185261750"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Sebastian Jaimungal","raw_affiliation_strings":["Department of Statistical Sciences, University of Toronto, Canada"],"raw_orcid":"https://orcid.org/0000-0002-0193-0993","affiliations":[{"raw_affiliation_string":"Department of Statistical Sciences, University of Toronto, Canada","institution_ids":["https://openalex.org/I185261750"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5082109843","display_name":"Yuri F. Saporito","orcid":"https://orcid.org/0000-0001-7265-9136"},"institutions":[{"id":"https://openalex.org/I44202434","display_name":"Funda\u00e7\u00e3o Getulio Vargas","ror":"https://ror.org/01evzkn27","country_code":"BR","type":"education","lineage":["https://openalex.org/I44202434"]}],"countries":["BR"],"is_corresponding":false,"raw_author_name":"Yuri F. Saporito","raw_affiliation_strings":["School of Applied Mathematics (EMAp), Getulio Vargas Foundation (FGV), Brazil"],"raw_orcid":"https://orcid.org/0000-0001-7265-9136","affiliations":[{"raw_affiliation_string":"School of Applied Mathematics (EMAp), Getulio Vargas Foundation (FGV), Brazil","institution_ids":["https://openalex.org/I44202434"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":4.0241,"has_fulltext":false,"cited_by_count":22,"citation_normalized_percentile":{"value":0.9401731,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":94,"max":99},"biblio":{"volume":"13","issue":"3","first_page":"944","last_page":"968"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9993000030517578,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9993000030517578,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9836999773979187,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.9829999804496765,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/mean-reversion","display_name":"Mean reversion","score":0.6445721387863159},{"id":"https://openalex.org/keywords/stochastic-control","display_name":"Stochastic control","score":0.5961615443229675},{"id":"https://openalex.org/keywords/trading-strategy","display_name":"Trading strategy","score":0.5694456100463867},{"id":"https://openalex.org/keywords/pairs-trade","display_name":"Pairs trade","score":0.5663794875144958},{"id":"https://openalex.org/keywords/algorithmic-trading","display_name":"Algorithmic trading","score":0.5572453737258911},{"id":"https://openalex.org/keywords/volume-weighted-average-price","display_name":"Volume-weighted average price","score":0.4917323887348175},{"id":"https://openalex.org/keywords/order","display_name":"Order (exchange)","score":0.49113795161247253},{"id":"https://openalex.org/keywords/stochastic-process","display_name":"Stochastic process","score":0.45021727681159973},{"id":"https://openalex.org/keywords/singular-perturbation","display_name":"Singular perturbation","score":0.4431948959827423},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4364240765571594},{"id":"https://openalex.org/keywords/market-impact","display_name":"Market impact","score":0.42219310998916626},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.4036547839641571},{"id":"https://openalex.org/keywords/optimal-control","display_name":"Optimal control","score":0.38316696882247925},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.36665773391723633},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.36573272943496704},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.35654008388519287},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.2329828441143036},{"id":"https://openalex.org/keywords/alternative-trading-system","display_name":"Alternative trading system","score":0.17951130867004395},{"id":"https://openalex.org/keywords/market-microstructure","display_name":"Market microstructure","score":0.17570406198501587},{"id":"https://openalex.org/keywords/market-maker","display_name":"Market maker","score":0.15429186820983887},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.1475732922554016},{"id":"https://openalex.org/keywords/stock-market","display_name":"Stock market","score":0.07116439938545227}],"concepts":[{"id":"https://openalex.org/C135205223","wikidata":"https://www.wikidata.org/wiki/Q367137","display_name":"Mean reversion","level":2,"score":0.6445721387863159},{"id":"https://openalex.org/C170131372","wikidata":"https://www.wikidata.org/wiki/Q7617811","display_name":"Stochastic control","level":3,"score":0.5961615443229675},{"id":"https://openalex.org/C131562839","wikidata":"https://www.wikidata.org/wiki/Q1574928","display_name":"Trading strategy","level":2,"score":0.5694456100463867},{"id":"https://openalex.org/C158876240","wikidata":"https://www.wikidata.org/wiki/Q17105131","display_name":"Pairs trade","level":4,"score":0.5663794875144958},{"id":"https://openalex.org/C78508483","wikidata":"https://www.wikidata.org/wiki/Q139445","display_name":"Algorithmic trading","level":2,"score":0.5572453737258911},{"id":"https://openalex.org/C115392374","wikidata":"https://www.wikidata.org/wiki/Q7940823","display_name":"Volume-weighted average price","level":5,"score":0.4917323887348175},{"id":"https://openalex.org/C182306322","wikidata":"https://www.wikidata.org/wiki/Q1779371","display_name":"Order (exchange)","level":2,"score":0.49113795161247253},{"id":"https://openalex.org/C8272713","wikidata":"https://www.wikidata.org/wiki/Q176737","display_name":"Stochastic process","level":2,"score":0.45021727681159973},{"id":"https://openalex.org/C165160513","wikidata":"https://www.wikidata.org/wiki/Q7524249","display_name":"Singular perturbation","level":2,"score":0.4431948959827423},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4364240765571594},{"id":"https://openalex.org/C127288500","wikidata":"https://www.wikidata.org/wiki/Q1241055","display_name":"Market impact","level":4,"score":0.42219310998916626},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.4036547839641571},{"id":"https://openalex.org/C91575142","wikidata":"https://www.wikidata.org/wiki/Q1971426","display_name":"Optimal control","level":2,"score":0.38316696882247925},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.36665773391723633},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.36573272943496704},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.35654008388519287},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.2329828441143036},{"id":"https://openalex.org/C172428447","wikidata":"https://www.wikidata.org/wiki/Q438711","display_name":"Alternative trading system","level":3,"score":0.17951130867004395},{"id":"https://openalex.org/C51926234","wikidata":"https://www.wikidata.org/wiki/Q3312426","display_name":"Market microstructure","level":3,"score":0.17570406198501587},{"id":"https://openalex.org/C18991353","wikidata":"https://www.wikidata.org/wiki/Q1137319","display_name":"Market maker","level":4,"score":0.15429186820983887},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.1475732922554016},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.07116439938545227},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0},{"id":"https://openalex.org/C2780762169","wikidata":"https://www.wikidata.org/wiki/Q5905368","display_name":"Horse","level":2,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1137/21m1394473","is_oa":false,"landing_page_url":"https://doi.org/10.1137/21m1394473","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[{"score":0.4099999964237213,"display_name":"Decent work and economic growth","id":"https://metadata.un.org/sdg/8"}],"awards":[{"id":"https://openalex.org/G2980479518","display_name":null,"funder_award_id":"RGPIN-2018","funder_id":"https://openalex.org/F4320334593","funder_display_name":"Natural Sciences and Engineering Research Council of Canada"},{"id":"https://openalex.org/G3987016471","display_name":null,"funder_award_id":"DMS-1814091","funder_id":"https://openalex.org/F4320306076","funder_display_name":"National Science Foundation"},{"id":"https://openalex.org/G761669796","display_name":null,"funder_award_id":"RGPAS-2018-522715","funder_id":"https://openalex.org/F4320334593","funder_display_name":"Natural Sciences and Engineering Research Council of Canada"},{"id":"https://openalex.org/G8990979927","display_name":"Systemic Risk and Mean Field Games","funder_award_id":"1814091","funder_id":"https://openalex.org/F4320306076","funder_display_name":"National Science Foundation"}],"funders":[{"id":"https://openalex.org/F4320306076","display_name":"National Science Foundation","ror":"https://ror.org/021nxhr62"},{"id":"https://openalex.org/F4320334593","display_name":"Natural Sciences and Engineering Research Council of Canada","ror":"https://ror.org/01h531d29"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":30,"referenced_works":["https://openalex.org/W1487597787","https://openalex.org/W1507126399","https://openalex.org/W1514815886","https://openalex.org/W1601784765","https://openalex.org/W1977918979","https://openalex.org/W1988270113","https://openalex.org/W1992598907","https://openalex.org/W2015365582","https://openalex.org/W2036310667","https://openalex.org/W2049449780","https://openalex.org/W2065242466","https://openalex.org/W2125406222","https://openalex.org/W2187509787","https://openalex.org/W2292370562","https://openalex.org/W2297399739","https://openalex.org/W2605897044","https://openalex.org/W2884980930","https://openalex.org/W2914642177","https://openalex.org/W2963091401","https://openalex.org/W3023274588","https://openalex.org/W3098813252","https://openalex.org/W3107009690","https://openalex.org/W3121177045","https://openalex.org/W3124955582","https://openalex.org/W3125164112","https://openalex.org/W3125653313","https://openalex.org/W3125789262","https://openalex.org/W3185579903","https://openalex.org/W4243838529","https://openalex.org/W4298284876"],"related_works":["https://openalex.org/W2112123416","https://openalex.org/W2062835155","https://openalex.org/W2392556764","https://openalex.org/W1559637654","https://openalex.org/W560727937","https://openalex.org/W2613653781","https://openalex.org/W3135399589","https://openalex.org/W3122388746","https://openalex.org/W4225884093","https://openalex.org/W1545283352"],"abstract_inverted_index":{"Trading":[0],"frictions":[1,68],"are":[2,49],"stochastic.":[3],"They":[4],"are,":[5],"moreover,":[6],"in":[7,19],"many":[8],"instances":[9],"fast":[10],"mean-reverting.":[11],"Here,":[12],"we":[13,56],"study":[14,27],"how":[15],"to":[16,29,51,61],"optimally":[17],"trade":[18],"a":[20],"market":[21],"with":[22],"stochastic":[23,66],"price":[24],"impact":[25],"and":[26,44],"approximations":[28,48],"the":[30,47,52,63],"resulting":[31],"optimal":[32,71],"control":[33],"problem":[34],"using":[35],"singular":[36],"perturbation":[37],"methods.":[38],"We":[39],"prove,":[40],"by":[41],"constructing":[42],"sub-":[43],"supersolutions,":[45],"that":[46,65],"accurate":[50],"specified":[53],"order.":[54],"Finally,":[55],"perform":[57],"some":[58],"numerical":[59],"experiments":[60],"illustrate":[62],"effect":[64],"trading":[67],"have":[69],"on":[70],"trading.":[72]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":5},{"year":2024,"cited_by_count":8},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":4},{"year":2021,"cited_by_count":2}],"updated_date":"2026-06-22T08:00:12.763002","created_date":"2025-10-10T00:00:00"}
