最优交易策略对交易持续期的影响

构建一个纯流动市场交易动态策略模型。假设交易者按Poisson过程到达市场,交易者根据其私人估值及市场状态对限价指令的收益做预期,通过最大化其收益确定所提交指令的类型(限价指令或市价指令)。模型发现,虽然交易者到达市场的时间间隔相互独立,但交易持续期却受前一期的交易策略影响:买(卖)指令的提交将增加下一期卖(买)交易持续期的期望值,减小下一期买(卖)交易的持续期的期望值。因而,交易间的自相关性是依据最优交易策略所内生的性质,与知情交易无关。

The Effects of the Optimal Trading Strategies on Trading Durations

In this paper, a one-tick model in limit order market is presented. When agents arrive at the market according to Poisson process and choose to submit a limit order or a market order to maximize their payoffs, the book follows a dynamic pattern. Although the durations of traders arrivals are independent, the trading strategies do affect the next trading duration. The expected time of a market buy order arriving increases when a trader submits a buy order, and decreases when a trader submits a sell order. Similar results for the expected time of a market sell order arriving. Therefore, the self-correlation of trade is endogenous in the dynamic process where there is no informed trader.