Handbook on Systemic Risk: Dynamical Models of Market Impact and Algorithms for Order Execution
Handbook on Systemic Risk: Dynamical Models of Market Impact and Algorithms for Order Execution
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DOI：
10.1017/cbo9781139151184.030
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发表时间：
2013-01
期刊：
影响因子：
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通讯作者：
Jim Gatheral;A. Schied
中科院分区：
文献类型：
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作者：
Jim Gatheral;A. Schied
在这篇评论文章中，我们提出了最近的工作的规律性动态市场影响模型和相关的最优订单执行策略。特别是，我们解决的问题的稳定性和存在的最优策略，表明在一个大类的模型，有价格操纵和没有表现良好的最优订单执行策略。我们还处理因使用暗池和掠夺性交易而产生的问题。
In this review article, we present recent work on the regularity of dynamical market impact models and their associated optimal order execution strategies. In particular, we address the question of the stability and existence of optimal strategies, showing that in a large class of models, there is price manipulation and no well-behaved optimal order execution strategy. We also address issues arising from the use of dark pools and predatory trading.