Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact
Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact
复制标题
具有暂时和瞬态价格影响的最佳信号自适应交易
DOI：
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发表时间：
2020
影响因子：
1
通讯作者：
Moritz Voß
中科院分区：
文献类型：
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作者：
E. Neuman;Moritz Voß
我们研究了线性、暂时性和暂时性价格影响下的最优清算问题，同时考虑了一般价格预测的有限变化信号。我们将这个问题描述为一类绝对连续的信号自适应策略上的成本风险泛函的最小化问题。随机控制问题采用概率和凸解析法进行求解。我们证明了最优交易策略是由四个耦合的正向向后向随机微分方程系统给出的，并且可以显式求解。我们的结果揭示了诱导的瞬时价格扭曲如何与预测信号一起提供了一个关于未来价格变化的额外预测因子。因此，最优信号自适应交易利率在利用预测信号与引起执行价格从其未受影响的水平瞬时转移之间进行权衡。这回答了Lehalle和Neuman提出的一个悬而未决的问题[27]，因为我们展示了当价格影响不仅是暂时的而且是暂时的时，如何推导出唯一的最优信号自适应清算策略。
We study optimal liquidation in the presence of linear temporary and transient price impact along with taking into account a general price predicting finite-variation signal. We formulate this problem as minimization of a cost-risk functional over a class of absolutely continuous and signal-adaptive strategies. The stochastic control problem is solved by following a probabilistic and convex analytic approach. We show that the optimal trading strategy is given by a system of four coupled forward-backward SDEs, which can be solved explicitly. Our results reveal how the induced transient price distortion provides together with the predictive signal an additional predictor about future price changes. As a consequence, the optimal signal-adaptive trading rate trades off exploiting the predictive signal against incurring the transient displacement of the execution price from its unaffected level. This answers an open question from Lehalle and Neuman [27] as we show how to derive the unique optimal signal-adaptive liquidation strategy when price impact is not only temporary but also transient.
DOI：
10.1142/s2382626618500077
发表时间：
2016-09
期刊：
arXiv: Trading and Market Microstructure
影响因子：
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作者：
E. Strehle
通讯作者：
E. Strehle