一类具有几何Ornstein-Uhlenbeck价格的最优执行问题 过程

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

摘要翻译：
本文研究了存在市场冲击时证券价格服从几何Ornstein-Uhlenbeck过程的最优执行问题，并证明了最优执行策略是初始/终端块平仓和渐进式中间平仓的混合策略。均值回复特性描述了与市场冲击弹性密切相关的价格恢复效应，正如几篇研究限价订单书(LOB)模型中最优执行的论文所描述的那样。有趣的是，尽管本文中的模型不同于LOB模型，但我们的最优策略的形式与LOB模型的形式非常相似。此外，我们还通过对各种案例的研究，讨论了如何使逐步平仓成为一种最优策略，并发现，使交易者逐步执行证券以减轻市场冲击的影响，不仅是“市场冲击函数的凸性”，而且是“价格恢复效应”（即市场冲击的瞬变性）。
---
英文标题：
《An Optimal Execution Problem with a Geometric Ornstein-Uhlenbeck Price
  Process》
---
作者：
Takashi Kato
---
最新提交年份：
2014
---
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：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
--

---
英文摘要：
  We study an optimal execution problem in the presence of market impact where the security price follows a geometric Ornstein-Uhlenbeck process, which implies the mean-reverting property, and show that the optimal strategy is a mixture of initial/terminal block liquidation and gradual intermediate liquidation. The mean-reverting property describes a price recovery effect that is strongly related to the resilience of market impact, as described in several papers that have studied optimal execution in a limit order book (LOB) model. It is interesting that despite the fact that the model in this paper is different from the LOB model, the form of our optimal strategy is quite similar to those obtained for an LOB model. Moreover, we discuss what properties cause gradual liquidation as an optimal strategy by studying various cases and find out that not only "convexity of market impact function" but also "price recovery effect" (or, in other words, transience of market impact) are essential to make a trader execute the security gradually to mitigate the effect of market impact.
---
PDF链接：
https://arxiv.org/pdf/1107.1787

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：Uhlenbeck Ornstein Stein Beck TEI mean model execution impact 研究