Optimal Execution in a Multiplayer Model of Transient Price Impact
Optimal Execution in a Multiplayer Model of Transient Price Impact
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DOI：
10.1142/s2382626618500077
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发表时间：
2016-09
期刊：
影响因子：
--
通讯作者：
E. Strehle
中科院分区：
文献类型：
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作者：
E. Strehle
执行大额订单的交易算法容易受到订单预期策略的利用。本文研究了瞬时价格冲击下的多投资者最优执行模型中订单预期策略的影响。在交易产生二次交易费用的假设下，建立了纳什均衡的存在唯一性。对于指数衰减核，给出了纳什均衡的闭合表示。结果表明，尽管订单预期策略显著提高了大额订单的执行成本，但它们通常不会在Brunnermeier和Pedersen意义上导致价格超调。
Trading algorithms that execute large orders are susceptible to exploitation by order anticipation strategies. This paper studies the influence of order anticipation strategies in a multi-investor model of optimal execution under transient price impact. Existence and uniqueness of a Nash equilibrium is established under the assumption that trading incurs quadratic transaction costs. A closed-form representation of the Nash equilibrium is derived for exponential decay kernels. With this representation, it is shown that while order anticipation strategies raise the execution costs of a large order significantly, they typically do not cause price overshooting in the sense of Brunnermeier and Pedersen.