基于指令执行延迟的最优交易策略

已有关于最优交易策略的研究尚未注意指令执行延迟的影响。本文主要研究了面对指令执行延迟约束的机构投资者对大额买卖指令进行拆分时所采取的最优策略及其数学性质,并对影响交易策略的各参数敏感性进行分析。研究表明,指令执行延迟导致机构的交易策略向后倾斜,而非均匀的拆分策略,且市场流动性和深度、拆分程度、风险厌恶程度、“价格误估”程度均影响执行延迟所导致的流动性成本。

Optimal Trading Strategy Based on Order Execution Delay

In a realistic market,order execution delay is a popular phenomenon,and has not attracted the at tention of researchers during the study of optimal trading strategy.In the framework of Polimenis,this paper studies the institution investor's optimal strategy of breaking a block,and whose profit from price misevaluation in the face of order execution delay.Finally,numerical example is given and sensitivity of coefficients is analyzed.Results show that the institution investor's profit and liquidity cost are affected by market liquidity and depth,the degree of breaking,risk aversion,and misevaluation.