论文标题
交易外汇三胞胎
Trading Foreign Exchange Triplets
论文作者
论文摘要
我们制定了外汇经纪人（FX）经纪人的最佳交易策略，他必须在不流动的货币对中清算庞大的头寸。为了最大化收入，经纪人考虑以货币三胞胎进行交易，该货币由流动性生不便的对和另外两个流动货币对组成。选择三重态中的液体对，以使其中一对是多余的。经纪人是风险中立的，并说明了FX费率中的模型模棱两可，以使她的策略强大以模型指定。当经纪人是模棱两可的中性（厌恶）时，每对中的交易策略在三联中的其他两个对中的库存是独立的（依赖）。我们采用模拟来说明健壮的策略的执行方式。对于一系列歧义性厌恶参数，我们发现该策略的平均利润和损失（P＆L）增加，并且随着歧义性厌恶的增加，损益的标准偏差会降低。
We develop the optimal trading strategy for a foreign exchange (FX) broker who must liquidate a large position in an illiquid currency pair. To maximize revenues, the broker considers trading in a currency triplet which consists of the illiquid pair and two other liquid currency pairs. The liquid pairs in the triplet are chosen so that one of the pairs is redundant. The broker is risk-neutral and accounts for model ambiguity in the FX rates to make her strategy robust to model misspecification. When the broker is ambiguity neutral (averse) the trading strategy in each pair is independent (dependent) of the inventory in the other two pairs in the triplet. We employ simulations to illustrate how the robust strategies perform. For a range of ambiguity aversion parameters, we find the mean Profit and Loss (P&L) of the strategy increases and the standard deviation of the P&L decreases as ambiguity aversion increases.
