Finance and Stochastics Seminar – Emilio Barucci

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Speaker: Emilio Barucci Title: Trading and optimal execution in futures and spot markets with cross impacts Abstract: We study the inventory management of a trader operating in spot and futures markets when the futures basis vanishes at maturity and exhibits mean-reversion. The model distinguishes between the primary market, where new information is incorporated into prices, from the secondary market whose price contains a mean reverting basis component. We characterize the optimal trading strategy under both cash settlement and physical delivery. We show that access to the secondary market c…