英文标题：
《Inventory Management for High-Frequency Trading with Imperfect
Competition》
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作者：
Sebastian Herrmann, Johannes Muhle-Karbe, Dapeng Shang, Chen Yang
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最新提交年份：
2019
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英文摘要：
We study Nash equilibria for inventory-averse high-frequency traders (HFTs), who trade to exploit information about future price changes. For discrete trading rounds, the HFTs\' optimal trading strategies and their equilibrium price impact are described by a system of nonlinear equations; explicit solutions obtain around the continuous-time limit. Unlike in the risk-neutral case, the optimal inventories become mean-reverting and vanish as the number of trading rounds becomes large. In contrast, the HFTs\' risk-adjusted profits and the equilibrium price impact converge to their risk-neutral counterparts. Compared to a social-planner solution for cooperative HFTs, Nash competition leads to excess trading, so that marginal transaction taxes in fact decrease market liquidity.
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中文摘要：
我们研究了库存厌恶高频交易者（HFT）的纳什均衡，HFT的交易目的是利用未来价格变化的信息。对于离散交易轮，HFT的最优交易策略及其均衡价格影响由一个非线性方程组描述；在连续时间限制附近获得显式解。与风险中性情况不同，随着交易轮数的增加，最优库存变得均值回复并消失。相比之下，HFT的风险调整利润和均衡价格影响收敛于其风险中性对应方。与合作HFT的社会规划师解决方案相比，纳什竞争会导致过度交易，因此边际交易税实际上会降低市场流动性。
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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：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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