具有身份可选性的最优执行

Q3 Mathematics

Applied Mathematical Finance Pub Date : 2022-07-04 DOI:10.1080/1350486X.2023.2193343

R. Carmona, Claire Zeng

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引用次数: 1

摘要

摘要本文研究了在最优执行框架下匿名交易对代理人策略的影响。主要探讨了多伦多证券交易所订单归属的特殊性，经纪人可以选择以自己的身份进行交易，也可以选择使用所有经纪人共同使用的通用匿名代码进行交易。我们为N个经纪人群体的最优执行问题制定了一个随机微分博弈，并结合了身份披露和匿名交易过程的永久和临时价格影响。然后，我们在Almgren-Chris价格影响框架下，通过概率方法给出了具有共同噪声的控制器的极限平均场对策，并得到了封闭形式的解。最后，我们进行了敏感性分析，以探讨模型参数对最优策略的影响。

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 Identity Optionality

ABSTRACT This paper investigates the impact of anonymous trading on the agents' strategy in an optimal execution framework. It mainly explores the specificity of order attribution on the Toronto Stock Exchange, where brokers can choose to either trade with their own identity or under a generic anonymous code that is common to all the brokers. We formulate a stochastic differential game for the optimal execution problem of a population of N brokers and incorporate permanent and temporary price impacts for both the identity-revealed and anonymous trading processes. We then formulate the limiting mean-field game of controls with common noise and obtain a solution in closed-form via the probablistic approach for the Almgren-Chris price impact framework. Finally, we perform a sensitivity analysis to explore the impact of the model parameters on the optimal strategy.

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来源期刊

Applied Mathematical Finance Economics, Econometrics and Finance-Finance

CiteScore

2.30

自引率

0.00%

发文量

期刊介绍： The journal encourages the confident use of applied mathematics and mathematical modelling in finance. The journal publishes papers on the following: •modelling of financial and economic primitives (interest rates, asset prices etc); •modelling market behaviour; •modelling market imperfections; •pricing of financial derivative securities; •hedging strategies; •numerical methods; •financial engineering.