论文标题
càdlàg半明星策略在随机订单模型中以最佳的贸易执行
Càdlàg semimartingale strategies for optimal trade execution in stochastic order book models
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，我们在连续时间设置了一个限制订单簿模型。订单的书籍深度和弹性都可以及时随机发展。我们允许在方向上进行交易，并以Càdlàg半明天作为执行策略进行交易。我们得出了一个二次BSDE，该BSDE在适当的假设下表征了最低的执行成本并确定存在最佳执行策略的条件。我们还研究了最佳策略的定性方面，例如，出现具有无限差异或块贸易的策略，并与问题的离散时间表达讨论了联系。我们的发现在几个示例中进行了说明。
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 continuous time. Both order book depth and resilience are allowed to evolve randomly in time. We allow for trading in both directions and for càdlàg semimartingales as execution strategies. We derive a quadratic BSDE that under appropriate assumptions characterizes minimal execution costs and identify conditions under which an optimal execution strategy exists. We also investigate qualitative aspects of optimal strategies such as, e.g., appearance of strategies with infinite variation or existence of block trades and discuss connections with the discrete-time formulation of the problem. Our findings are illustrated in several examples.
