英文标题：
《Static vs adapted optimal execution strategies in two benchmark trading
models》
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作者：
Damiano Brigo, Clement Piat
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最新提交年份：
2016
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英文摘要：
We consider the optimal solutions to the trade execution problem in the two different classes of i) fully adapted or adaptive and ii) deterministic or static strategies, comparing them. We do this in two different benchmark models. The first model is a discrete time framework with an information flow process, dealing with both permanent and temporary impact, minimizing the expected cost of the trade. The second model is a continuous time framework where the objective function is the sum of the expected cost and a value at risk (or expected shortfall) type risk criterion. Optimal adapted solutions are known in both frameworks from the original works of Bertsimas and Lo (1998) and Gatheral and Schied (2011). In this paper we derive the optimal static strategies for both benchmark models and we study quantitatively the improvement in optimality when moving from static strategies to fully adapted ones. We conclude that, in the benchmark models we study, the difference is not relevant, except for extreme unrealistic cases for the model or impact parameters. This indirectly confirms that in the similar framework of Almgren and Chriss (2000) one is fine deriving a static optimal solution, as done by those authors, as opposed to a fully adapted one, since the static solution happens to be tractable and known in closed form.
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中文摘要：
我们在两类不同的策略中考虑交易执行问题的最优解：i）完全适应或自适应策略；ii）确定性策略或静态策略，并对它们进行比较。我们在两种不同的基准模型中实现了这一点。第一个模型是一个具有信息流过程的离散时间框架，处理永久和临时影响，最大限度地降低交易的预期成本。第二个模型是一个连续时间框架，其中目标函数是预期成本和风险价值（或预期短缺）型风险标准之和。在Bertsimas和Lo（1998年）以及Gathereal和Schied（2011年）的原著中，两个框架中都知道最佳适应解决方案。在本文中，我们推导了两个基准模型的最优静态策略，并定量研究了从静态策略转移到完全适应策略时的最优性改进。我们得出结论，在我们研究的基准模型中，除了模型或影响参数的极端不切实际的情况外，差异并不相关。这间接证实了在Almgren和Chriss（2000）的类似框架中，可以很好地推导静态最优解，正如这些作者所做的那样，而不是完全适应的，因为静态解碰巧是可处理的，并且以闭合形式已知。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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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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