英文标题：
《Random walk model from the point of view of algorithmic trading》
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作者：
Oleh Danyliv, Bruce Bland and Alexandre Argenson
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最新提交年份：
2019
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英文摘要：
Despite the fact that an intraday market price distribution is not normal, the random walk model of price behaviour is as important for the understanding of basic principles of the market as the pendulum model is a starting point of many fundamental theories in physics. This model is a good zero order approximation for liquid fast moving markets where the queue position is less important than the price action. In this paper we present an exact solution for the cost of the static passive slice execution. It is shown, that if a price has a random walk behaviour, there is no optimal limit level for an order execution: all levels have the same execution cost as an immediate aggressive execution at the beginning of the slice. Additionally the estimations for the risk of a limit order as well as the probability of a limit order execution as functions of the slice time and standard deviation of the price are derived.
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中文摘要：
尽管日内市场价格分布不正常，但价格行为的随机游走模型对于理解市场的基本原理同样重要，就像钟摆模型是物理学许多基本理论的起点一样。该模型是流动性快速移动市场的一个很好的零阶近似，其中队列位置不如价格作用重要。在本文中，我们给出了静态被动切片执行成本的精确解。结果表明，如果价格具有随机游走行为，则订单执行不存在最优限制水平：所有水平的执行成本都与切片开始时的即时积极执行成本相同。此外，还导出了限价单风险的估计以及限价单执行概率随切片时间和价格标准差的函数。
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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：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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