A Market Impact Game Under Transient Price Impact
A Market Impact Game Under Transient Price Impact
复制标题
瞬态价格影响下的市场影响博弈
DOI：
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发表时间：
2013
影响因子：
1.7
通讯作者：
Zhang Tao
中科院分区：
文献类型：
--
作者：
A. Schied;Zhang Tao
我们考虑了两个高频交易者在一个简单的市场冲击模型中的纳什均衡，该模型具有瞬时价格冲击和额外的二次交易成本。扩展了Sch“oneborn（2008）的一个结果，证明了纳什均衡的存在性和唯一性，并证明了在交易成本较低的情况下，高频交易者参与了一个“热土豆博弈”，即来回出售相同的资产头寸。然后，我们确定了一个临界值的交易成本的大小，所有的振荡消失，战略成为只买或只卖。数值模拟表明，对于双方的交易者的预期成本可以降低交易成本比没有。此外，当没有交易成本时，交易成本会随着交易频率的增加而增加，而当交易成本足够高时，交易成本会随着交易频率的增加而减少。我们认为，这些影响的发生是由于需要保护，防止掠夺性交易的制度，低交易成本。
We consider a Nash equilibrium between two high-frequency traders in a simple market impact model with transient price impact and additional quadratic transaction costs. Extending a result by Sch"oneborn (2008), we prove existence and uniqueness of the Nash equilibrium and show that for small transaction costs the high-frequency traders engage in a "hot-potato game", in which the same asset position is sold back and forth. We then identify a critical value for the size of the transaction costs above which all oscillations disappear and strategies become buy-only or sell-only. Numerical simulations show that for both traders the expected costs can be lower with transaction costs than without. Moreover, the costs can increase with the trading frequency when there are no transaction costs, but decrease with the trading frequency when transaction costs are sufficiently high. We argue that these effects occur due to the need of protection against predatory trading in the regime of low transaction costs.
具有瞬态价格影响的市场影响博弈中纳什均衡的高频极限
DOI：
10.1137/16m107030x
发表时间：
2017
期刊：
SIAM J. Financial Math.
影响因子：
--
作者：
A. Schied;E. Strehle;T. Zhang
通讯作者：
T. Zhang