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摘要翻译：
在金融市场中，流动性不是随时间而恒定的，而是表现出强烈的季节性规律。在本文中，我们考虑了一个限制订单书模型，该模型考虑了时间依赖的、确定性的深度和书的弹性，并确定了最优的投资组合清算策略。在第一个模型变体中，我们提出了一个交易相关价差，当市场订单与订单簿匹配时，该价差会增加。该模型不存在价格操纵行为，且最优策略为奇异控制问题中常遇到的等待区域-购买区域类型。在第二个模型中，我们假设订单簿中没有扩散。在这个假设下，我们发现价格操纵是可能发生的，这取决于模型参数。即使没有经典的价格操纵，也可能存在交易触发的价格操纵。在具体情况下，我们可以用封闭的形式陈述最优策略。
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英文标题：
《Optimal trade execution and price manipulation in order books with
time-varying liquidity》
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作者：
Antje Fruth and Torsten Schoeneborn and Mikhail Urusov
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最新提交年份：
2011
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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：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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英文摘要：
In financial markets, liquidity is not constant over time but exhibits strong seasonal patterns. In this article we consider a limit order book model that allows for time-dependent, deterministic depth and resilience of the book and determine optimal portfolio liquidation strategies. In a first model variant, we propose a trading dependent spread that increases when market orders are matched against the order book. In this model no price manipulation occurs and the optimal strategy is of the wait region - buy region type often encountered in singular control problems. In a second model, we assume that there is no spread in the order book. Under this assumption we find that price manipulation can occur, depending on the model parameters. Even in the absence of classical price manipulation there may be transaction triggered price manipulation. In specific cases, we can state the optimal strategy in closed form.
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PDF链接：
https://arxiv.org/pdf/1109.2631
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