发帖
雷达卡
摘要翻译：
在最近的一篇论文中，Alfonsi，Fruth和Schied(AFS)提出了一个简单的基于订单簿的模型来研究大订单对股票价格的影响。他们用这个模型来推导出执行大订单的最佳策略。我们将这些策略应用于最近由Bovier,V{C}ern{y}和Hryniv提出的基于Agent的随机序书模型，但已经校准失败了。特别是，从我们的模拟来看，市场在大订单后的恢复速度明显依赖于订单规模，而AFS模型假设一个恒定的速度。为此，我们提出了一个推广的AFS模型，GAFS模型，结合了这种依赖性，并证明了最优投资策略。作为推论，我们发现我们可以从GAFS模型中推导出AFS模型的“正确”恒定回弹速度，从而使AFS模型和GAFS模型的最优策略相一致。最后，我们发现将GAFS模型的最优策略应用于人工市场环境的成本与模型预测仍有很大差异，表明即使改进的模型也不能捕捉真实市场的所有相关细节。
---
英文标题：
《Executing large orders in a microscopic market model》
---
作者：
Alexander Weiss
---
最新提交年份：
2010
---
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
--
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
--
---
英文摘要：
In a recent paper, Alfonsi, Fruth and Schied (AFS) propose a simple order book based model for the impact of large orders on stock prices. They use this model to derive optimal strategies for the execution of large orders. We apply these strategies to an agent-based stochastic order book model that was recently proposed by Bovier, \v{C}ern\'{y} and Hryniv, but already the calibration fails. In particular, from our simulations the recovery speed of the market after a large order is clearly dependent on the order size, whereas the AFS model assumes a constant speed. For this reason, we propose a generalization of the AFS model, the GAFS model, that incorporates this dependency, and prove the optimal investment strategies. As a corollary, we find that we can derive the ``correct'' constant resilience speed for the AFS model from the GAFS model such that the optimal strategies of the AFS and the GAFS model coincide. Finally, we show that the costs of applying the optimal strategies of the GAFS model to the artificial market environment still differ significantly from the model predictions, indicating that even the improved model does not capture all of the relevant details of a real market.
---
PDF链接：
https://arxiv.org/pdf/0904.4131
京公网安备 11010802022788号
