英文标题：
《Optimal Order Scheduling for Deterministic Liquidity Patterns》
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作者：
Peter Bank and Antje Fruth
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最新提交年份：
2013
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英文摘要：
We consider a broker who has to place a large order which consumes a sizable part of average daily trading volume. The broker\'s aim is thus to minimize execution costs he incurs from the adverse impact of his trades on market prices. By contrast to the previous literature, see, e.g., Obizhaeva and Wang (2005), Predoiu, Shaikhet, and Shreve (2011), we allow the liquidity parameters of market depth and resilience to vary deterministically over the course of the trading period. The resulting singular optimal control problem is shown to be tractable by methods from convex analysis and, under minimal assumptions, we construct an explicit solution to the scheduling problem in terms of some concave envelope of the resilience adjusted market depth.
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中文摘要：
我们考虑一个经纪人，他必须下一笔很大的订单，这相当于平均每日交易量的很大一部分。因此，经纪人的目标是将其交易对市场价格的不利影响导致的执行成本降至最低。与之前的文献相比，如Obizhaeva和Wang（2005）、Predoiu、Shaikhet和Shreve（2011），我们允许市场深度和弹性的流动性参数在交易期间发生决定性变化。由此产生的奇异最优控制问题可以用凸分析的方法来处理，并且在最小假设下，我们构造了一个关于弹性调整市场深度的凹包络的调度问题的显式解。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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