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摘要翻译：
研究了具有离散订单流的金融市场中的最优交易执行策略。代理人有一个有限的清算期限，必须最大限度地减少价格影响，因为有一个随机数量的交易对手。假设订单流N$由泊松过程给出，我们充分分析了最优动态执行策略的性质和计算。扩展，其中(a)$N$是一个完全观察到的制度转换泊松过程；并且(b)$N$是一个由隐马尔可夫链驱动的马尔可夫调制复合泊松过程。我们推导并比较了这三种情况的性质，并用算例说明了我们的结果。
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英文标题：
《Optimal Trade Execution in Illiquid Markets》
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作者：
Erhan Bayraktar and Mike Ludkovski
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最新提交年份：
2009
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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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英文摘要：
We study optimal trade execution strategies in financial markets with discrete order flow. The agent has a finite liquidation horizon and must minimize price impact given a random number of incoming trade counterparties. Assuming that the order flow $N$ is given by a Poisson process, we give a full analysis of the properties and computation of the optimal dynamic execution strategy. Extensions, whereby (a) $N$ is a fully-observed regime-switching Poisson process; and (b) $N$ is a Markov-modulated compound Poisson process driven by a hidden Markov chain, are also considered. We derive and compare the properties of the three cases and illustrate our results with computational examples.
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PDF链接：
https://arxiv.org/pdf/0902.2516
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