英文标题：
《Optimal Execution of Limit and Market Orders with Trade Director, Speed
Limiter, and Fill Uncertainty》
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作者：
Brian Bulthuis and Julio Concha and Tim Leung and Brian Ward
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最新提交年份：
2017
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英文摘要：
We study the optimal execution of market and limit orders with permanent and temporary price impacts as well as uncertainty in the filling of limit orders. Our continuous-time model incorporates a trade speed limiter and a trader director to provide better control on the trading rates. We formulate a stochastic control problem to determine the optimal dynamic strategy for trade execution, with a quadratic terminal penalty to ensure complete liquidation. In addition, we identify conditions on the model parameters to ensure optimality of the controls and finiteness of the associated value functions. For comparison, we also solve the schedule-following optimal execution problem that penalizes deviations from an order schedule. Numerical results are provided to illustrate the optimal market and limit orders over time.
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中文摘要：
我们研究了市场和限价订单的最优执行，包括永久和临时价格影响，以及限价订单填写的不确定性。我们的连续时间模型包含一个交易速度限制器和一个交易者控制器，以更好地控制交易利率。我们建立了一个随机控制问题来确定交易执行的最优动态策略，并使用二次终端惩罚来确保完全清算。此外，我们还确定了模型参数的条件，以确保控制的最优性和相关值函数的有限性。为了进行比较，我们还解决了计划跟踪优化执行问题，该问题会惩罚与订单计划的偏差。数值结果说明了最优市场和限价订单随时间的变化。
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分类信息：

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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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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