英文标题：
《Equilibrium Effects of Intraday Order-Splitting Benchmarks》
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作者：
Jin Hyuk Choi, Kasper Larsen, Duane J. Seppi
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最新提交年份：
2020
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英文摘要：
This paper presents a continuous-time model of intraday trading, pricing, and liquidity with dynamic TWAP and VWAP benchmarks. The model is solved in closed-form for the competitive equilibrium and also for non-price-taking equilibria. The intraday trajectories of TWAP trading targets cause predictable intraday patterns of price pressure, and randomness in VWAP target trajectories induces additional randomness in intraday price-pressure patterns. TWAP and VWAP trading both reduce market liquidity and increase price volatility relative to just terminal trading targets alone. The model is computationally tractable, which lets us provide a number of numerical illustrations.
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中文摘要：
本文提出了一个具有动态TWAP和VWAP基准的日内交易、定价和流动性的连续时间模型。该模型以闭合形式求解竞争均衡和非取价均衡。TWAP交易目标的日内轨迹会导致可预测的日内价格压力模式，而VWAP目标轨迹的随机性会导致日内价格压力模式的额外随机性。TWAP和VWAP交易都降低了市场流动性，并增加了仅相对于终端交易目标的价格波动性。该模型在计算上易于处理，这使我们能够提供一些数值说明。
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分类信息：

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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