基于市场冲击成本与机会成本的算法交易策略

提出了一种估计交易策略机会成本的方法,分析了同时考虑市场冲击成本和机会成本的投资者,在总交易成本最小的目标下制定最优交易策略的问题。研究结果表明,如果投资者只考虑冲击成本,或者虽然同时考虑机会成本但若所有交易时期指令的成交概率都相等,那么投资者最优的算法交易策略仍然是采用著名的交易量加权平均价格(VWAP)交易策略;对于所有交易时期指令的成交概率不一致但交易者能预先预期总的可执行指令大小的特殊情况,得到了此问题的解析解;对于各交易时期指令成交概率并非都相等的一般情形,通过数值示例发现,对于不同交易时期指令的成交概率分别为递增、递减和U型3种不同情形,投资者同时关注市场冲击成本和机会成本时指令提交策略(MIOC)的总交易成本均小于VWAP交易策略。

Algorithmic Trading Strategy Based on Market Impact and Opportunity Cost

This paper develops a method to estimate the opportunity cost of a trading strategy if the blocks are not completely executed,and studies an optimal trading strategy that a high-frequency trader considers both market impact and opportunity cost.The results indicate that if investor only takes into account market impact,or considers both the market impact and opportunity cost when the turnover probability of slice order is equal in all periods,the optimal trading strategy is VWAP strategy.This paper obtains an analytical solution for the special case that investor can expect the total trading volume,makes numerical experiments for the general case that the turnover probability of slice order is not equal in all trading periods,and the total transaction cost of MIOC strategy is lower than VWAP strategy under three different situations that the turnover probability is increased,decreased and U-Shaped separately.