Optimal Execution with Dynamic Order Flow Imbalance
Optimal Execution with Dynamic Order Flow Imbalance
复制标题
动态订单流不平衡的最佳执行
DOI：
10.1137/140992254
复制
发表时间：
2014
期刊：
影响因子：
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通讯作者：
M. Ludkovski
中科院分区：
文献类型：
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作者：
Kyle Bechler;M. Ludkovski
我们研究最优执行模型，考虑到市场微观结构的影响和信息成本。信息足迹与订单流有关，并由交易者对流量不平衡过程的影响来表示，而微观结构影响则由瞬时价格影响来捕获。我们提出了一个连续时间的随机控制问题，这两个成本之间的平衡。澄清订单流不平衡导致考虑当前的市场状态，特别是一个人的订单是否倾向于或反对现行的订单流，在文献中的执行模型往往忽略的关键组成部分。特别是，为了应对不断变化的订单流，我们内生的交易地平线$T$。在开发了一般的不确定的地平线制定，我们研究了几个易于处理的近似，顺序优化价格的影响和超过$T$。这些近似，特别是基于滚动时域控制的动态版本，被证明是非常有效的。
We examine optimal execution models that take into account both market microstructure impact and informational costs. Informational footprint is related to order flow and is represented by the trader's influence on the flow imbalance process, while microstructure influence is captured by instantaneous price impact. We propose a continuous-time stochastic control problem that balances between these two costs. Incorporating order flow imbalance leads to the consideration of the current market state and specifically whether one's orders lean with or against the prevailing order flow, key components often ignored by execution models in the literature. In particular, to react to changing order flow, we endogenize the trading horizon $T$. After developing the general indefinite-horizon formulation, we investigate several tractable approximations that sequentially optimize over price impact and over $T$. These approximations, especially a dynamic version based on receding horizon control, are shown to be very ac...