英文标题：
《Optimal liquidity-based trading tactics》
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作者：
Charles-Albert Lehalle, Othmane Mounjid and Mathieu Rosenbaum
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最新提交年份：
2018
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英文摘要：
We consider an agent who needs to buy (or sell) a relatively small amount of asset over some fixed short time interval. We work at the highest frequency meaning that we wish to find the optimal tactic to execute our quantity using limit orders, market orders and cancellations. To solve the agent\'s control problem, we build an order book model and optimize an expected utility function based on our price impact. We derive the equations satisfied by the optimal strategy and solve them numerically. Moreover, we show that our optimal tactic enables us to outperform significantly naive execution strategies.
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中文摘要：
我们考虑的代理人需要在固定的短时间间隔内购买（或出售）相对较少的资产。我们以最高的频率工作，这意味着我们希望找到最佳的策略，通过限额订单、市场订单和取消来执行我们的数量。为了解决代理的控制问题，我们建立了订单模型，并根据价格影响优化了期望效用函数。我们推导了最优策略所满足的方程，并进行了数值求解。此外，我们还表明，我们的最佳策略使我们的表现明显优于天真的执行策略。
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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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