英文标题：
《Optimal Execution with Dynamic Order Flow Imbalance》
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作者：
Kyle Bechler and Mike Ludkovski
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最新提交年份：
2014
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英文摘要：
We examine optimal execution models that take into account both market microstructure impact and informational costs. Informational footprint is related to order flow and is represented by the trader\'s influence on the flow imbalance process, while microstructure influence is captured by instantaneous price impact. We propose a continuous-time stochastic control problem that balances between these two costs. Incorporating order flow imbalance leads to the consideration of the current market state and specifically whether one\'s orders lean with or against the prevailing order flow, key components often ignored by execution models in the literature. In particular, to react to changing order flow, we endogenize the trading horizon $T$. After developing the general indefinite-horizon formulation, we investigate several tractable approximations that sequentially optimize over price impact and over $T$. These approximations, especially a dynamic version based on receding horizon control, are shown to be very accurate and connect to the prevailing Almgren-Chriss framework. We also discuss features of empirical order flow and links between our model and \"Optimal Execution Horizon\" by Easley et al (Mathematical Finance, 2013).
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中文摘要：
我们研究了同时考虑市场微观结构影响和信息成本的最优执行模型。信息足迹与订单流相关，由交易者对流量不平衡过程的影响表示，而微观结构影响则由瞬时价格影响表示。我们提出了一个平衡这两个成本的连续时间随机控制问题。考虑到订单流不平衡，需要考虑当前的市场状态，尤其是一个人的订单是否倾向于主流订单流，这是文献中执行模型经常忽略的关键因素。特别是，为了应对不断变化的订单流，我们将交易期限内生化为$T$。在发展了一般的不确定期公式之后，我们研究了几个易于处理的近似，它们依次优化了价格影响和超过$T$。这些近似值，尤其是基于滚动地平线控制的动态版本，被证明是非常精确的，并且与流行的Almgren-Chriss框架相关联。我们还讨论了经验订单流的特征，以及我们的模型与Easley等人（Mathematic Finance，2013）提出的“最优执行期限”之间的联系。
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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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