英文标题：
《A Monte Carlo method for optimal portfolio executions》
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作者：
Nico Achtsis and Dirk Nuyens
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最新提交年份：
2013
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英文摘要：
Traders are often faced with large block orders in markets with limited liquidity and varying volatility. Executing the entire order at once usually incurs a large trading cost because of this limited liquidity. In order to minimize this cost traders split up large orders over time. Varying volatility however implies that they now take on price risk, as the underlying assets\' prices can move against the traders over the execution period. This execution problem therefore requires a careful balancing between trading slow to reduce liquidity cost and trading fast to reduce the volatility cost. R. Almgren solved this problem for a market with one asset and stochastic liquidity and volatility parameters, using a mean-variance framework. This leads to a nonlinear PDE that needs to be solved numerically. We propose a different approach using (quasi-)Monte Carlo which can handle any number of assets. Furthermore, our method can be run in real-time and allows the trader to change the parameters of the underlying stochastic processes on-the-fly.
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中文摘要：
在流动性有限、波动性不一的市场上，交易者经常面临大宗订单。由于流动性有限，一次执行整个订单通常会产生巨大的交易成本。为了将这一成本降到最低，贸易商会随着时间的推移拆分大量订单。然而，波动性的变化意味着它们现在承担了价格风险，因为标的资产的价格在执行期间可能会对交易员不利。因此，这种执行问题需要在交易速度慢以降低流动性成本和交易速度快以降低波动性成本之间进行谨慎的平衡。R.Almgren使用均值-方差框架解决了一个只有一种资产、流动性和波动性参数随机的市场的这个问题。这导致了一个非线性偏微分方程，需要数值求解。我们提出了一种使用（准）蒙特卡罗的不同方法，它可以处理任意数量的资产。此外，我们的方法可以实时运行，并允许交易者动态更改基础随机过程的参数。
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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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一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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