论文标题
最佳清算以征收流程驱动的单方面限制订单订单的风险避开投资者的最佳清算
Optimal liquidation for a risk averse investor in a one-sided limit order book driven by a Levy process
论文作者
论文摘要
在单方面的限制订单簿中，满足了一些现实的假设，而不受影响的价格流程遵循了征税流程，我们考虑了一个希望清算大量股份的市场代理。我们假设代理具有恒定的绝对风险规避，并旨在最大程度地提高现金位置在时间结束时的预期效用。然后，代理商面临平衡市场风险和快速执行成本的问题。特别是我们对代理商应如何最佳提交订单感兴趣。由于清算通常会在短时间内进行，因此将风险建模为征费过程，应为观察到的市场数据提供良好的统计模型，因此该模型应对代理商市场风险进行现实反映。我们将优化问题减少到确定性的二维奇异问题，我们能够根据模型数据得出明确的解决方案。特别是我们找到了最佳干预边界的表达式，该表达式完全表征了最佳清算策略。
In a one-sided limit order book, satisfying some realistic assumptions, where the unaffected price process follows a Levy process, we consider a market agent that wants to liquidate a large position of shares. We assume that the agent has constant absolute risk aversion and aims at maximising the expected utility of the cash position at the end of time. The agent is then faced with the problem of balancing the market risk and the cost of a rapid execution. In particular we are interested in how the agent should go about optimally submitting orders. Since liquidation normally takes place within a short period of time, modelling the risk as a Levy process should provide a realistic model with good statistical fit to observed market data, and thus the model should provide a realistic reflection of the agent's market risk. We reduce the optimisation problem to a deterministic two-dimensional singular problem, to which we are able to derive an explicit solution in terms of the model data. In particular we find an expression for the optimal intervention boundary, which completely characterise the optimal liquidation strategy.
