论文标题
在扩散订单市场中具有流动性风险的最佳执行
Optimal execution with liquidity risk in a diffusive order book market
论文作者
论文摘要
我们研究了具有流动性成本的最佳订单放置策略。在这个问题中，股票交易员希望以预定的时间范围$ t $清除她的大量库存。交易员同时使用限额和市场订单，大型市场订单面临着由于流动性风险造成的不利价格变动。首先，我们研究了一个单个时期模型，在该模型中，交易者在开始时就订购了限制顺序和/或市场订单。我们在不同的市场条件下展示了最佳市场订单，$ m^*$的最佳量，$ y^*$的最佳位置。接下来，我们将其扩展到一个多周期模型，在该模型中，交易者在多个时间点上做出限制和市场订单的顺序决策。
We study the optimal order placement strategy with the presence of a liquidity cost. In this problem, a stock trader wishes to clear her large inventory by a predetermined time horizon $T$. A trader uses both limit and market orders, and a large market order faces an adverse price movement caused by the liquidity risk. First, we study a single period model where the trader places a limit order and/or a market order at the beginning. We show the behavior of optimal amount of market order, $m^*$, and optimal placement of limit order, $y^*$, under different market conditions. Next, we extend it to a multi-period model, where the trader makes sequential decisions of limit and market orders at multiple time points.
