基于流动性的最优交易策略

Q1 Mathematics

Stochastic Systems Pub Date : 2018-03-01 DOI:10.1287/stsy.2021.0078

Charles-Albert Lehalle, Othmane Mounjid, M. Rosenbaum

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引用次数: 8

摘要

我们认为代理人需要在一定的短时间内购买（或出售）相对少量的资产。我们的工作频率最高，这意味着我们希望找到最佳策略，使用限价订单、市场订单和取消订单来执行我们的数量。为了解决代理人的控制问题，我们建立了一个订单簿模型，并根据我们的价格影响优化了预期效用函数。我们导出了最优策略所满足的方程，并对其进行了数值求解。此外，我们还表明，我们的最优策略使我们能够显著优于天真的执行策略。

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 Liquidity-Based Trading Tactics

We consider an agent who needs to buy (or sell) a relatively small amount of assets over some fixed short time interval. We work at the highest frequency meaning that we wish to find the optimal tactic to execute our quantity using limit orders, market orders, and cancellations. To solve the agent’s control problem, we build an order book model and optimize an expected utility function based on our price impact. We derive the equations satisfied by the optimal strategy and solve them numerically. Moreover, we show that our optimal tactic enables us to outperform significantly naive execution strategies.

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来源期刊

Stochastic Systems Decision Sciences-Statistics, Probability and Uncertainty

CiteScore

3.70

自引率

0.00%

发文量