英文标题：
《Trading against disorderly liquidation of a large position under
asymmetric information and market impact》
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作者：
Caroline Hillairet, Cody Hyndman, Ying Jiao, Renjie Wang
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最新提交年份：
2016
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英文摘要：
We consider trading against a hedge fund or large trader that must liquidate a large position in a risky asset if the market price of the asset crosses a certain threshold. Liquidation occurs in a disorderly manner and negatively impacts the market price of the asset. We consider the perspective of small investors whose trades do not induce market impact and who possess different levels of information about the liquidation trigger mechanism and the market impact. We classify these market participants into three types: fully informed, partially informed and uninformed investors. We consider the portfolio optimization problems and compare the optimal trading and wealth processes for the three classes of investors theoretically and by numerical illustrations.
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中文摘要：
我们考虑针对对冲基金或大型交易员进行交易，如果资产的市场价格超过某个阈值，则必须清算风险资产中的大量头寸。清算无序发生，对资产市价产生负面影响。我们考虑的是小投资者的观点，他们的交易不会引起市场影响，他们拥有关于清算触发机制和市场影响的不同信息水平。我们将这些市场参与者分为三类：完全知情的投资者、部分知情的投资者和不知情的投资者。我们考虑了投资组合优化问题，从理论上和数值上比较了三类投资者的最优交易和财富过程。
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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：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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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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一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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