Learning about latent dynamic trading demand $$^*$$
Learning about latent dynamic trading demand $$^*$$
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了解潜在的动态交易需求 $$^*$$
DOI：
10.1007/s11579-022-00317-5
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发表时间：
2022
影响因子：
1.6
通讯作者：
Seppi, Duane J.
中科院分区：
文献类型：
--
作者：
Chen, Xiao;Choi, Jin Hyuk;Larsen, Kasper;Seppi, Duane J.
提出了一个具有交易目标和价格影响的战略投资者动态交易、学习和定价的均衡模型。由于交易目标是私人的，投资者会随着时间的推移动态筛选子订单流，以估计潜在的母公司交易需求失衡，并预测其对后续价格压力动态的影响。我们证明了均衡的存在性，并求出了均衡的交易策略和价格作为耦合常微分方程组的解。交易策略是针对投资者目标的交易、为其他投资者的需求提供流动性，以及基于对潜在的交易需求失衡的了解进行投机的组合。
We present an equilibrium model of dynamic trading, learning, and pricing by strategic investors with trading targets and price impact. Since trading targets are private, investors filter the child order flow dynamically over time to estimate the latent underlying parent trading demand imbalance and to forecast its impact on subsequent price-pressure dynamics. We prove existence of an equilibrium and solve for equilibrium trading strategies and prices as the solution to a system of coupled ODEs. Trading strategies are combinations of trading towards investor targets, liquidity provision for other investors’ demands, and speculation based on learning about latent underlying trading-demand imbalances.