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摘要翻译：
为了进行交易，电子股票市场的参与者可以选择在股票交易的不同交易所提交限价指令或市价指令。这一决定受到每个限价订单簿中订单流和队列大小的特征，以及交易所之间交易费用和回扣的结构的影响。我们提出了一个定量的框架来研究该排序问题，将其表述为一个凸优化问题。这一公式允许研究如何相互作用之间的订单账簿的状态，费用结构，订单流的性质和偏好之间的交易者决定最优配售决策。在单个交易所的情况下，我们导出了限价指令和市价指令之间最优分割的显式解。对于一般的多交易所订单排序问题，我们提出了一种计算最优策略的随机算法，并通过数值实现研究了解对各种参数的敏感性。
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英文标题：
《Optimal order placement in limit order markets》
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作者：
Rama Cont, Arseniy Kukanov
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最新提交年份：
2014
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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：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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英文摘要：
To execute a trade, participants in electronic equity markets may choose to submit limit orders or market orders across various exchanges where a stock is traded. This decision is influenced by the characteristics of the order flow and queue sizes in each limit order book, as well as the structure of transaction fees and rebates across exchanges. We propose a quantitative framework for studying this order placement problem by formulating it as a convex optimization problem. This formulation allows to study how the interplay between the state of order books, the fee structure, order flow properties and preferences of a trader determine the optimal placement decision. In the case of a single exchange, we derive an explicit solution for the optimal split between limit and market orders. For the general problem of order placement across multiple exchanges, we propose a stochastic algorithm for computing the optimal policy and study the sensitivity of the solution to various parameters using a numerical implementation of the algorithm.
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PDF链接：
https://arxiv.org/pdf/1210.1625
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