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摘要翻译：
在一个简单的市场冲击模型中，考虑了两个高频交易者之间的纳什均衡，该模型具有瞬时价格冲击和附加的二次交易费用。推广了Sch\oneborn(2008)的一个结果，证明了纳什均衡的存在唯一性，并证明了高频交易者为了小的交易费用，进行了一个“烫手山芋博弈”，在这个博弈中，相同的资产头寸被来回卖出。然后，我们确定一个交易成本大小的临界值，超过这个临界值，所有振荡消失，策略变成只买或只卖。数值模拟表明，对于两个交易者来说，有交易费用的期望成本比没有交易费用的期望成本要低。此外，在不存在交易费用时，交易费用会随着交易频率的增加而增加，而在交易费用足够高时，交易费用会随着交易频率的增加而减少。我们认为，这些效应的产生是由于在低交易成本制度下需要保护免受掠夺性交易的需要。
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英文标题：
《A market impact game under transient price impact》
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作者：
Alexander Schied and Tao Zhang
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最新提交年份：
2017
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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 consider a Nash equilibrium between two high-frequency traders in a simple market impact model with transient price impact and additional quadratic transaction costs. Extending a result by Sch\"oneborn (2008), we prove existence and uniqueness of the Nash equilibrium and show that for small transaction costs the high-frequency traders engage in a "hot-potato game", in which the same asset position is sold back and forth. We then identify a critical value for the size of the transaction costs above which all oscillations disappear and strategies become buy-only or sell-only. Numerical simulations show that for both traders the expected costs can be lower with transaction costs than without. Moreover, the costs can increase with the trading frequency when there are no transaction costs, but decrease with the trading frequency when transaction costs are sufficiently high. We argue that these effects occur due to the need of protection against predatory trading in the regime of low transaction costs.
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PDF链接：
https://arxiv.org/pdf/1305.4013
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