Trading co-integrated assets with price impact
Trading co-integrated assets with price impact
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DOI：
10.1111/mafi.12181
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发表时间：
2019-04-01
影响因子：
1.6
通讯作者：
Jaimungal, Sebastian
中科院分区：
文献类型：
--
作者：
Cartea, Alvaro;Gan, Luhui;Jaimungal, Sebastian
执行一篮子共融资产是投资者面临的一项重要任务。在这里，我们展示了如何做到这一点，会计从篮子内外的资产获得的信息优势，以及来自所有市场参与者的市场订单（MO）的永久价格影响，以及代理人的MO对价格的临时影响。执行问题是作为一个最优随机控制问题，我们证明了，在一些温和的条件下，值函数承认一个封闭形式的解决方案，并证明了一个验证定理。此外，我们使用在纳斯达克交易所交易的五只股票的数据来估计模型参数，并使用模拟来说明该策略的性能。例如，代理人清算由英特尔公司和市场矢量半导体ETF的股票组成的投资组合。我们发现，包括三个额外的资产（FARO技术，IBM，Oracle公司）提供的信息大大提高了策略的性能;对于我们执行的投资组合，它比多资产版本的Almante-Chriss高出约4-4.5个基点。
Executing a basket of co-integrated assets is an important task facing investors. Here, we show how to do this accounting for the informational advantage gained from assets within and outside the basket, as well as for the permanent price impact of market orders (MOs) from all market participants, and the temporary impact that the agent's MOs have on prices. The execution problem is posed as an optimal stochastic control problem and we demonstrate that, under some mild conditions, the value function admits a closed-form solution, and prove a verification theorem. Furthermore, we use data of five stocks traded in the Nasdaq exchange to estimate the model parameters and use simulations to illustrate the performance of the strategy. As an example, the agent liquidates a portfolio consisting of shares in Intel Corporation and Market Vectors Semiconductor ETF. We show that including the information provided by three additional assets (FARO Technologies, NetApp, Oracle Corporation) considerably improves the strategy's performance; for the portfolio we execute, it outperforms the multiasset version of Almgren-Chriss by approximately 4-4.5 basis points.