英文标题：
《Optimal execution with nonlinear transient market impact》
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作者：
Gianbiagio Curato, Jim Gatheral and Fabrizio Lillo
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最新提交年份：
2014
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英文摘要：
We study the problem of the optimal execution of a large trade in the presence of nonlinear transient impact. We propose an approach based on homotopy analysis, whereby a well behaved initial strategy is continuously deformed to lower the expected execution cost. We find that the optimal solution is front loaded for concave impact and that its expected cost is significantly lower than that of conventional strategies. We then consider brute force numerical optimization of the cost functional; we find that the optimal solution for a buy program typically features a few short intense buying periods separated by long periods of weak selling. Indeed, in some cases we find negative expected cost. We show that this undesirable characteristic of the nonlinear transient impact model may be mitigated either by introducing a bid-ask spread cost or by imposing convexity of the instantaneous market impact function for large trading rates.
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中文摘要：
我们研究了非线性瞬态冲击下大型交易的最优执行问题。我们提出了一种基于同伦分析的方法，通过这种方法，一个表现良好的初始策略会不断变形，以降低预期的执行成本。我们发现，对于凹形冲击，最优解是前置的，其预期成本显著低于传统策略。然后我们考虑成本泛函的蛮力数值优化；我们发现，购买计划的最佳解决方案通常以几个短时间的密集购买期和长时间的疲软销售期为特征。事实上，在某些情况下，我们会发现负的预期成本。我们表明，非线性瞬态影响模型的这种不良特征可以通过引入买卖价差成本或通过对大交易率施加瞬时市场影响函数的凸性来缓解。
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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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