英文标题：
《Optimal Multiple Trading Times Under the Exponential OU Model with
Transaction Costs》
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作者：
Tim Leung, Xin Li, Zheng Wang
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最新提交年份：
2015
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英文摘要：
This paper studies the timing of trades under mean-reverting price dynamics subject to fixed transaction costs. We solve an optimal double stopping problem to determine the optimal times to enter and subsequently exit the market, when prices are driven by an exponential Ornstein-Uhlenbeck process. In addition, we analyze a related optimal switching problem that involves an infinite sequence of trades, and identify the conditions under which the double stopping and switching problems admit the same optimal entry and/or exit timing strategies. Among our results, we find that the investor generally enters when the price is low, but may find it optimal to wait if the current price is sufficiently close to zero. In other words, the continuation (waiting) region for entry is disconnected. Numerical results are provided to illustrate the dependence of timing strategies on model parameters and transaction costs.
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中文摘要：
本文研究了固定交易成本下均值回复价格动态下的交易时机。当价格受指数Ornstein-Uhlenbeck过程驱动时，我们求解一个最优双停问题来确定进入和随后退出市场的最佳时间。此外，我们还分析了一个涉及无限交易序列的相关最优切换问题，并确定了双停和切换问题允许相同的最优进入和/或退出时机策略的条件。在我们的结果中，我们发现投资者通常在价格较低时进入，但如果当前价格足够接近于零，投资者可能会发现等待是最优的。换句话说，输入的继续（等待）区域断开。数值结果说明了定时策略对模型参数和交易成本的依赖性。
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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：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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