Optimal Execution with Quadratic Variation Inventories

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2023-07-13 DOI:10.1137/21m1416564

Rene Carmona, Laura Leal

引用次数: 0

Abstract

SIAM Journal on Financial Mathematics, Volume 14, Issue 3, Page 751-776, September 2023.
Abstract. The first half of the paper is devoted to description and implementation of statistical tests arguing for the presence of a Brownian component in the inventories and wealth processes of individual traders. We use intraday data from the Toronto Stock Exchange to provide empirical evidence of this claim. We work with regularly spaced time intervals, as well as with asynchronously observed data. The tests reveal with high significance the presence of a nonzero Brownian motion component. The second half of the paper is concerned with the analysis of trader behaviors throughout the day. We extend the theoretical analysis of an existing optimal execution model to accommodate the presence of Itô inventory processes, and we compare empirically the optimal behavior of traders in such fitted models to the actual behavior we read off the data.

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二次变量库存的最优执行

《金融数学学报》，第14卷第3期，751-776页，2023年9月。摘要。本文的前半部分致力于描述和实施统计测试，以证明在个体交易者的库存和财富过程中存在布朗成分。我们使用多伦多证券交易所的盘中数据来提供这一说法的经验证据。我们使用有规律的时间间隔，以及异步观察数据。测试结果显示了非零布朗运动分量的存在。论文的后半部分是对全天交易者行为的分析。我们扩展了现有的最优执行模型的理论分析，以适应Itô库存过程的存在，我们在经验上比较了这种拟合模型中交易者的最佳行为与我们从数据中读取的实际行为。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.