论文标题
具有随机流动性参数的订单簿模型中的最佳贸易执行
Optimal trade execution in an order book model with stochastic liquidity parameters
论文作者
论文摘要
我们在具有随机流动性的金融市场中分析了最佳的贸易执行问题。为此，我们建立了一个限制顺序簿模型，其中订单簿深度和弹性都可以随机随机发展。在指示和离散时间允许交易。我们得出了明确的递归，在某些结构假设下，执行成本最低。我们还讨论了最佳策略的几个定性方面，例如存在有利可图的往返或一口气结束立场，并将我们的发现与文献进行比较。
We analyze an optimal trade execution problem in a financial market with stochastic liquidity. To this end we set up a limit order book model in which both order book depth and resilience evolve randomly in time. Trading is allowed in both directions and at discrete points in time. We derive an explicit recursion that, under certain structural assumptions, characterizes minimal execution costs. We also discuss several qualitative aspects of optimal strategies, such as existence of profitable round trips or closing the position in one go, and compare our findings with the literature.
