随机价格恢复下的动态最优执行策略

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英文标题：
《A dynamic optimal execution strategy under stochastic price recovery》
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作者：
Masashi Ieda
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最新提交年份：
2015
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英文摘要：
  In the present paper, we study the optimal execution problem under stochastic price recovery based on limit order book dynamics. We model price recovery after execution of a large order by accelerating the arrival of the refilling order, which is defined as a Cox process whose intensity increases by the degree of the market impact. We include not only the market order but also the limit order in our strategy in a restricted fashion. We formulate the problem as a combined stochastic control problem over a finite time horizon. The corresponding Hamilton-Jacobi-Bellman quasi-variational inequality is solved numerically. The optimal strategy obtained consists of three components: (i) the initial large trade; (ii) the unscheduled small trades during the period; (iii) the terminal large trade. The size and timing of the trade is governed by the tolerance for market impact depending on the state at each time step, and hence the strategy behaves dynamically. We also provide competitive results due to inclusion of the limit order, even though a limit order is allowed under conservative evaluation of the execution price.
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中文摘要：
在本文中，我们研究了随机价格恢复下基于限价订单书动力学的最优执行问题。我们通过加速补货订单的到达来模拟大订单执行后的价格恢复，补货订单被定义为Cox过程，其强度随着市场影响程度的增加而增加。我们的策略中不仅包括市场订单，还包括限制订单。我们将该问题描述为有限时间范围内的组合随机控制问题。数值求解了相应的Hamilton-Jacobi-Bellman拟变分不等式。得到的最优策略由三部分组成：（i）初始大额交易；（ii）该期间的计划外小额交易；（三）码头大型贸易。交易的规模和时间取决于每个时间步的状态，取决于对市场影响的容忍度，因此策略是动态的。由于包含了限价单，我们还提供了竞争结果，即使在执行价格的保守评估下允许限价单。
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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：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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关键词：Quantitative Conservative Applications Accelerating Computation