Optimal Off-Exchange Execution with Closing Price
Optimal Off-Exchange Execution with Closing Price
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最佳场外执行及收盘价
DOI：
10.4236/jmf.2017.71003
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发表时间：
2017
期刊：
影响因子：
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通讯作者：
Peilu Shimizu
中科院分区：
文献类型：
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作者：
Seiya Kuno;M. Ohnishi;Peilu Shimizu
本文的目的是研究收盘价保证执行是否是可能的合同，如果可能的话，影响证券价格的机构投资者如何将执行量分配给传统交易和场外交易场所。在传统交易场所的广义价格模型中，明确考虑了永久性的影响，我们得到了一个最优的执行策略在传统的交易场所和订单量的分配到两个场所的动态规划的框架。通过证明最优执行策略在静态类中，进一步证明了保证收盘价的合约是可以成立的，并且合约达成时的交易量是可以控制的。此外，本文还通过一些数值例子说明了在一定的交易条件下，机构投资者操纵市场以谋取利润的可能性。
The purpose of this paper is to examine whether the closing price guaranteed execution is possible contract, and if possible, how an institutional investor who affects the security price allocates execution volumes to both traditional trading and off-exchange (over-the-counter, OTC) trading venues. With a generalized price model at the traditional venue which considers the permanent impact effect explicitly, we derive an optimal execution strategy in the traditional trading venue and the allocation of the order volume to both venues in the framework of dynamic programming. By proving that an optimal execution strategy is in the static class, we further show that the closing price guaranteed contract may be established and the trading volume at the time of agreement of the contract can be controlled. Moreover, by some numerical examples, we illustrate a possibility for the institutional investor to manipulate the market in order to seek a profit under some trading situation.