Optimal Execution in Illiquid Market with the Absence of Price Manipulation
Optimal Execution in Illiquid Market with the Absence of Price Manipulation
复制标题
没有价格操纵的非流动性市场中的最优执行
DOI：
10.4236/jmf.2015.51001
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发表时间：
2015
期刊：
影响因子：
--
通讯作者：
M. Ohnishi
中科院分区：
文献类型：
--
作者：
Seiya Kuno;M. Ohnishi
本文在风险中性意义下定义了不存在价格操纵的条件，研究了具有恒定绝对风险厌恶（CARA）型效用的风险厌恶型机构交易者的执行绩效。从两个线性价格冲击模型中，我们得到了唯一的显式最优执行策略，并利用动态规划方程进行了反推计算。我们的研究表明，最佳的执行策略存在于静态类。导出的解决方案可以被分解成主要的两个组成部分，每一个给出了最佳执行量的属性的解释。此外，我们提出了两个条件，以比较这两个价格模型的性能，并说明了这两个模型的性能是惊人的不同，在一定的条件下。
This article shows the execution performance of the risk-averse institutional trader with constant absolute risk aversion (CARA) type utility by using the condition of no price manipulation defined in the risk neutral sense. From two linear price impact models both satisfying that condition, we have derived the unique explicit optimal execution strategy calculated backwardly with dynamic programming equations. And our study shows that the optimal execution strategy exists in the static class. The derived solution can be decomposed into mainly two components, each giving an explanation of the property of optimal execution volume. Moreover we propose two conditions in order to compare the performance of these two price models, and illustrate that the performances of the two models are surprisingly different under certain conditions.
影响因子：
1.7
作者：
C. Lorenz;A. Schied
通讯作者：
C. Lorenz;A. Schied