英文标题：
《Optimal VWAP execution under transient price impact》
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作者：
Alexander Barzykin and Fabrizio Lillo
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最新提交年份：
2019
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英文摘要：
We solve the problem of optimal liquidation with volume weighted average price (VWAP) benchmark when the market impact is linear and transient. Our setting is indeed more general as it considers the case when the trading interval is not necessarily coincident with the benchmark interval: Implementation Shortfall and Target Close execution are shown to be particular cases of our setting. We find explicit solutions in continuous and discrete time considering risk averse investors having a CARA utility function. Finally, we show that, contrary to what is observed for Implementation Shortfall, the optimal VWAP solution contains both buy and sell trades also when the decay kernel is convex.
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中文摘要：
在市场影响为线性和瞬态的情况下，我们利用成交量加权平均价格（VWAP）基准来解决最优清算问题。我们的设置确实更为一般，因为它考虑了交易区间不一定与基准区间一致的情况：执行差额和目标收盘执行被证明是我们设置的特殊情况。考虑到风险厌恶投资者具有CARA效用函数，我们在连续和离散时间内找到了显式解。最后，我们表明，与观察到的实现不足相反，当衰减核是凸的时，最优VWAP解决方案也包含买卖交易。
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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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