英文标题：
《Extension and calibration of a Hawkes-based optimal execution model》
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作者：
Aur\\\'elien Alfonsi and Pierre Blanc
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最新提交年份：
2015
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英文摘要：
We provide some theoretical extensions and a calibration protocol for our former dynamic optimal execution model. The Hawkes parameters and the propagator are estimated independently on financial data from stocks of the CAC40. Interestingly, the propagator exhibits a smoothly decaying form with one or two dominant time scales, but only so after a few seconds that the market needs to adjust after a large trade. Motivated by our estimation results, we derive the optimal execution strategy for a multi-exponential Hawkes kernel and backtest it on the data for round trips. We find that the strategy is profitable on average when trading at the midprice, which is in accordance with violated martingale conditions. However, in most cases, these profits vanish when we take bid-ask costs into account.
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中文摘要：
我们为我们以前的动态最优执行模型提供了一些理论扩展和校准协议。霍克斯参数和传播子是根据CAC40股票的财务数据独立估计的。有趣的是，传播者表现出一种平稳衰减的形式，有一个或两个主要的时间尺度，但只有在几秒钟后，市场才需要在大规模交易后进行调整。基于我们的估计结果，我们推导了多指数Hawkes核的最优执行策略，并在往返数据上进行了回溯测试。我们发现，当在中间价交易时，该策略平均是有利可图的，这与违反鞅条件是一致的。然而，在大多数情况下，当我们考虑到买卖成本时，这些利润就消失了。
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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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