Smerlak releases research paper on optimal trading filters and predictive signal value
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Matteo Smerlak published a research paper on the arXiv quantitative finance section on October 20, 2026, addressing the stationary quadratic trading problem with transient price impact. Using predictive theory tools, he derived the optimal trading strategy, expressed as a combination of conditional prediction and an explicit causal linear filter. This paper recovers the Gârleanu-Pedersen target portfolio under the exponential elasticity assumption, derives a fractional trading filter under power-law impact decay, and clarifies the determining mechanism of the net realizable value of predictive signals under different trading cost scenarios.
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- arXiv q-finThe value of optimal trading filters and predictive signals
This paper addresses the stationary quadratic trading problem with transient price impact, deriving optimal trading strategies using predictive theory tools, expressed as a combination of conditional predictions and explicit causal linear filters. The paper recovers the Gârleanu-Pedersen target portfolio under the exponential elasticity assumption, derives fractional trading filters under power-law impact decay, and clarifies the mechanisms determining the net realizable value of predictive signals under different trading cost scenarios.
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