摘要翻译：
比例交易费用在交易算法设计中存在着理论难题，由于其缺乏分析的可处理性。对于交易资产具有由一个或多个随机风险因子描述的扩散动力学的任意模型，作者导出了DT-NT-DT形式的解。NT区的宽度与交易成本的立方根成正比。它还与目标头寸波动率的2/3次方成正比，从而导致更快的交易策略比更慢的交易策略缓冲更多。缓冲器中间从无成本位置的位移与宽度的平方成正比，从而与交易成本的2/3次方成正比；比例常数取决于预期的短期头寸变化。
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英文标题：
《Optimal multifactor trading under proportional transaction costs》
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作者：
Richard J. Martin
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最新提交年份：
2012
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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英文摘要：
  Proportional transaction costs present difficult theoretical problems in trading algorithm design, on account of their lack of analytical tractability. The author derives a solution of DT-NT-DT form for an arbitrary model in which the the traded asset has diffusive dynamics described by one or more stochastic risk factors. The width of the NT zone is found to be, as expected, proportional to the cube root of the transaction cost. It is also proportional to the 2/3 power of the volatility of the target position, thereby causing a faster trading strategy to be buffered more than a slower one. The displacement of the middle of the buffer from the costfree position is found to be proportional to the square of the width, and hence to the 2/3 power of the transaction cost; the proportionality constant depends on the expected short-term change in position.
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PDF链接：
https://arxiv.org/pdf/1204.6488