Adaptive Arrival Price; ; Trading; Algorithmic Trading III. Precision control, execution

Adaptive Arrival Price; ; Trading; Algorithmic Trading III. Precision control, execution
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自适应到达价格；

DOI：
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发表时间：
2007
期刊：
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影响因子：
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通讯作者：
Julian Lorenz
Julian Lorenz
中科院分区：
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文献类型：
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作者：
R. Almgren;Julian Lorenz

文献摘要

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到达价格算法通过平衡快速执行的市场影响成本和缓慢执行的波动风险来确定最佳交易时间表。标准中 公式化，平均方差最优策略是静态的：它们不会根据交易期间观察到的价格运动来修改执行速度。我们用一个更现实的 平均方差权衡的公式化，即使在价格过程中没有动量或均值回归，对于花费交易的自适应策略来说， 当价格向有利于交易者的方向移动时，通过加速执行来减少风险。对于大的初始位置，改进更大。
Arrival price algorithms determine optimal trade schedules by balancing the market impact cost of rapid execution against the volatility risk of slow execution. In the standard formulation, mean variance optimal strategies are static: they do not modify the execution speed in response to price motions observed during trading. We show that with a more realistic formulation of the mean variance tradeoff, and even with no momentum or mean reversion in the price process, substantial improvements are possible for adaptive strategies that spend trading gains to reduce risk, by accelerating execution when the price moves in the trader's favor. The improvement is larger for large initial positions.