跳至正文
返回文库全部文档

具有市场退出机制且不允许往返交易的清算博弈

文章 arXiv papers · 作者: Guanxing Fu et al.
阅读原文

总结

本文研究投资组合清算博弈：交易者的持仓降至零时便退出市场。这种吸收规则排除了往返交易，并被视为无统计套利条件。在仅包含卖方的模型中，作者证明吸收规则等价于卖空约束。研究分析了均值场博弈和有限参与者博弈；前者通过总体群体表示众多相互作用的参与者。

两种情形下的均衡都通过一个具有内生终端条件的非线性高阶积分方程来刻画。论文证明该方程存在唯一解，因此均值场博弈和有限参与者博弈均存在唯一均衡。论文还证明有限参与者均衡收敛于均值场均衡，并展示退出约束如何改变均衡交易速率。简短描述没有提供模型中具体的市场冲击假设，也没有说明交易速率变化的量化幅度。

核心观点

  • 参与者在持仓降至零时退出市场，因此不允许往返交易。
  • 在全为卖方的模型中，吸收规则等价于卖空约束。
  • 均衡由带有内生终端条件的非线性积分方程刻画。
  • 作者证明均值场博弈和有限参与者博弈的均衡均具有唯一性。
  • 有限参与者均衡收敛于均值场均衡，退出约束会影响交易速率。

标签

市场微观结构交易执行仓位规模统计学
全文
# Mean-Field Liquidation Games with Market Drop-out


# Mean-Field Liquidation Games with Market Drop-out









We consider a novel class of portfolio liquidation games with market drop-out ("absorption"). More precisely, we consider mean-field and finite player liquidation games where a player drops out of the market when her position hits zero. In particular round-trips are not admissible. This can be viewed as a no statistical arbitrage condition. In a model with only sellers we prove that the absorption condition is equivalent to a short selling constraint. We prove that equilibria (both in the mean-field and the finite player game) are given as solutions to a non-linear higher-order integral equation with endogenous terminal condition. We prove the existence of a unique solution to the integral equation from which we obtain the existence of a unique equilibrium in the MFG and the existence of a unique equilibrium in the $N$-player game. We establish the convergence of the equilibria in the finite player games to the obtained mean-field equilibrium and illustrate the impact of the drop-out constraint on equilibrium trading rates.

在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0

此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。