二次变量库存的最优执行

IF 1.4 4区经济学 Q3 BUSINESS, FINANCE

SIAM Journal on Financial Mathematics Pub Date : 2023-07-13 DOI:10.1137/21m1416564

Rene Carmona, Laura Leal

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引用次数: 0

摘要

《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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Optimal Execution with Quadratic Variation Inventories

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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来源期刊

SIAM Journal on Financial Mathematics MATHEMATICS, INTERDISCIPLINARY APPLICATIONS-

CiteScore

2.30

自引率

10.00%

发文量

期刊介绍： SIAM Journal on Financial Mathematics (SIFIN) addresses theoretical developments in financial mathematics as well as breakthroughs in the computational challenges they encompass. The journal provides a common platform for scholars interested in the mathematical theory of finance as well as practitioners interested in rigorous treatments of the scientific computational issues related to implementation. On the theoretical side, the journal publishes articles with demonstrable mathematical developments motivated by models of modern finance. On the computational side, it publishes articles introducing new methods and algorithms representing significant (as opposed to incremental) improvements on the existing state of affairs of modern numerical implementations of applied financial mathematics.