Optimal Order Execution Using Equilibrium Theory and Big Data
利用均衡理论和大数据优化订单执行
基本信息
- 批准号:1812679
- 负责人:
- 金额:$ 23万
- 依托单位:
- 依托单位国家:美国
- 项目类别:Standard Grant
- 财政年份:2018
- 资助国家:美国
- 起止时间:2018-08-01 至 2022-07-31
- 项目状态:已结题
- 来源:
- 关键词:
项目摘要
The investigator, his collaborators, and his students seek to develop mathematical models for how to optimally buy or sell a given quantity of stocks over a short time interval. The project's novelty lies in the fact that both mathematics and equilibrium theory from the economics literature will be used to develop models which: (i) endogenize stock price dynamics as model output, and (ii) can deal with Big Data issues such as the very frequent arrival of massive amounts of new relevant data points. Currently, all trade execution models used by both practitioners and academics are not based on the sound and long standing economic principle which says that the stock price should be determined by equating stock demand with available stock supply. The goal is to build mathematically tractable models based on equilibrium theory which can deal with several Big Data issues.From a rigorous mathematical perspective, the investigator first seeks to prove existence of equilibria in continuous-time execution models governed by Brownian motions and more generally governed by Levy processes. Subsequently, the investigator seeks to investigate uniqueness and stability of these models. It is suspected that uniqueness fails which implies a refinement need: How to optimally choose an equilibrium? This optimization produces a new class of problems in mathematical finance related to the theory of calculus of variations from analysis. Furthermore, the equilibrium models are carefully designed such that while being mathematically tractable, the models can deal with many of the practical issues Big Data represent. The main Big Data issue to be addressed is the continuous arrival of new relevant data which forces the model implementation to be as an online algorithm.This award reflects NSF's statutory mission and has been deemed worthy of support through evaluation using the Foundation's intellectual merit and broader impacts review criteria.
研究者、他的合作者和他的学生试图建立数学模型,以研究如何在短时间内最优地买卖给定数量的股票。该项目的新奇之处在于,将使用经济学文献中的数学和均衡理论来开发模型,这些模型:(i)将股票价格动态作为模型输出,(ii)可以处理大数据问题,例如大量新相关数据点的频繁到达。目前,从业者和学者使用的所有交易执行模型都不是基于合理和长期存在的经济原则,即股票价格应该由股票需求与可用股票供应量相等来确定。我们的目标是建立基于均衡理论的数学模型,可以处理几个大数据问题。从严格的数学角度来看,研究者首先试图证明由布朗运动和更普遍的Levy过程控制的连续时间执行模型中均衡的存在性。随后,研究者试图研究这些模型的唯一性和稳定性。有人怀疑唯一性失败,这意味着需要改进:如何最佳地选择一个均衡?这种优化产生了一类新的数学金融问题,与分析变分法理论有关。此外,均衡模型经过精心设计,在数学上易于处理的同时,这些模型可以处理大数据所代表的许多实际问题。需要解决的主要大数据问题是新的相关数据的不断到来,这迫使模型实现成为在线算法。该奖项反映了NSF的法定使命,并通过使用基金会的知识价值和更广泛的影响审查标准进行评估,被认为值得支持。
项目成果
期刊论文数量(4)
专著数量(0)
科研奖励数量(0)
会议论文数量(0)
专利数量(0)
Equilibrium effects of intraday order-splitting benchmarks
日内订单分割基准的均衡效应
- DOI:10.1007/s11579-020-00278-7
- 发表时间:2021
- 期刊:
- 影响因子:1.6
- 作者:Choi, Jin Hyuk;Larsen, Kasper;Seppi, Duane J.
- 通讯作者:Seppi, Duane J.
Learning about latent dynamic trading demand $$^*$$
了解潜在的动态交易需求 $$^*$$
- DOI:10.1007/s11579-022-00317-5
- 发表时间:2022
- 期刊:
- 影响因子:1.6
- 作者:Chen, Xiao;Choi, Jin Hyuk;Larsen, Kasper;Seppi, Duane J.
- 通讯作者:Seppi, Duane J.
Information and trading targets in a dynamic market equilibrium
动态市场均衡中的信息和交易目标
- DOI:10.1016/j.jfineco.2018.11.003
- 发表时间:2019
- 期刊:
- 影响因子:8.9
- 作者:Choi, Jin Hyuk;Larsen, Kasper;Seppi, Duane J.
- 通讯作者:Seppi, Duane J.
Conditional Davis pricing
有条件戴维斯定价
- DOI:10.1007/s00780-020-00424-5
- 发表时间:2020
- 期刊:
- 影响因子:1.7
- 作者:Larsen, Kasper;Soner, Halil Mete;Žitković, Gordan
- 通讯作者:Žitković, Gordan
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Kasper Larsen其他文献
Radner equilibrium in incomplete Lévy models
- DOI:
10.1007/s11579-016-0161-0 - 发表时间:
2016-01-27 - 期刊:
- 影响因子:1.000
- 作者:
Kasper Larsen;Tanawit Sae-Sue - 通讯作者:
Tanawit Sae-Sue
Optimal portfolio delegation when parties have different coefficients of risk aversion
- DOI:
10.1080/14697680500305204 - 发表时间:
2005-10 - 期刊:
- 影响因子:1.3
- 作者:
Kasper Larsen - 通讯作者:
Kasper Larsen
Price impact in Nash equilibria
纳什均衡中的价格影响
- DOI:
10.1007/s00780-023-00499-w - 发表时间:
2023 - 期刊:
- 影响因子:1.7
- 作者:
Xiao Chen;J. Choi;Kasper Larsen;Duane J. Seppi - 通讯作者:
Duane J. Seppi
Trading Constraints in Continuous-Time Kyle Models
连续时间凯尔模型中的交易约束
- DOI:
10.1137/21m1446617 - 发表时间:
2022 - 期刊:
- 影响因子:0
- 作者:
J. Choi;Heeyoung Kwon;Kasper Larsen - 通讯作者:
Kasper Larsen
Asset Pricing Puzzles and Price-Impact
资产定价难题和价格影响
- DOI:
10.2139/ssrn.3465159 - 发表时间:
2019 - 期刊:
- 影响因子:0
- 作者:
Xiao Chen;J. Choi;Kasper Larsen;Duane J. Seppi - 通讯作者:
Duane J. Seppi
Kasper Larsen的其他文献
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