英文标题：
《Optimal liquidation in a Level-I limit order book for large tick stocks》
---
作者：
Antoine Jacquier and Hao Liu
---
最新提交年份：
2017
---
英文摘要：
We propose a framework to study the optimal liquidation strategy in a limit order book for large-tick stocks, with spread equal to one tick. All order book events (market orders, limit orders and cancellations) occur according to independent Poisson processes, with parameters depending on price move directions. Our goal is to maximise the expected terminal wealth of an agent who needs to liquidate her positions within a fixed time horizon. Assuming that the agent trades (through sell limit order or/and sell market order) only when the price moves, we model her liquidation procedure as a semi-Markov decision process, and compute the semi-Markov kernel using Laplace method in the language of queueing theory. The optimal liquidation policy is then solved by dynamic programming, and illustrated numerically.
---
中文摘要：
我们提出了一个框架来研究价差等于一个tick的大型tick股票的限制订单中的最优清算策略。所有订单簿事件（市场订单、限价订单和取消）根据独立的泊松过程发生，参数取决于价格变动方向。我们的目标是使需要在固定时间范围内平仓的代理人的预期最终财富最大化。假设代理人仅在价格变动时进行交易（通过卖出限价单或/和卖出市价单），我们将其清算过程建模为半马尔可夫决策过程，并使用排队论语言中的拉普拉斯方法计算半马尔可夫核。然后用动态规划方法求解最优清算策略，并进行了数值说明。
---
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
--

---
PDF下载：
-->