Optimal Market Dealing Under Constraints
Optimal Market Dealing Under Constraints
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约束下的最优市场交易
DOI：
10.1007/s10957-016-1040-9
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发表时间：
2016
影响因子：
1.9
通讯作者：
M. Mnif
中科院分区：
文献类型：
--
作者：
E. Chevalier;M'hamed Gaïgi;Vathana Ly Vath;M. Mnif
我们认为，在报价驱动的市场中，市场交易商作为流动性提供者，不断为非流动性资产设定买入价和卖出价。市场交易商可能会从买卖价差中获益，但有义务在满足某些流动性和库存约束的情况下永久性地报出两种价格。我们的目标是最大化的预期效用从终端清算价值在有限的时间内，并受到上述约束。我们将该值函数刻画为相应的Hamilton-Jacobi-Bellman方程的唯一粘性解，数值结果进一步丰富了我们的研究。我们的研究关注的建模方面和动态结构的控制策略的贡献。做市商问题的重要特征和限制不再被忽视。
We consider a market dealer acting as a liquidity provider by continuously setting bid and ask prices for an illiquid asset in a quote-driven market. The market dealer may benefit from the bid–ask spread, but has the obligation to permanently quote both prices while satisfying some liquidity and inventory constraints. The objective is to maximize the expected utility from terminal liquidation value over a finite horizon and subject to the above constraints. We characterize the value function as the unique viscosity solution to the associated Hamilton–Jacobi–Bellman equation, and further enrich our study with numerical results. The contributions of our study concern both the modelling aspects and the dynamic structure of the control strategies. Important features and constraints characterizing market making problems are no longer ignored.