Abstract
This article is concerned with a numerical method using stochastic approximation approach for an optimal trading (buy and sell) strategy. The underlying asset price is governed by a mean-reverting stochastic process. The objective is to buy and sell the asset so as to maximize an overall expected return. One of the advantages of our approach is that the underlying asset is model free. Only mean reversion is required. Slippage cost is imposed on each transaction. Convergence of the algorithms is provided. Numerical examples are reported to demonstrate the results.
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