优化经纪商定价，平衡客户流量与有害订单流损失
文章 arXiv papers · 作者: Álvaro Cartea et al.
总结
本文将服务知情与非知情客户的经纪商建模为一个无限期随机控制问题。研究推导出闭式最优交易策略，并据此提出一种旨在用于实盘交易的算法，无需逐一校准各个模型参数。
分析还刻画了向客户提供的流动性折扣。经纪商必须在吸引客户订单与和知情客户交易所造成的损失之间取得平衡。本文介绍了理论结果和实用算法，但所提供的文本没有数据、数值表现证据，也未说明模型假设和实际部署的限制。
核心观点
- 经纪商与知情和非知情客户的互动被表述为随机控制问题。
- 最优交易策略以闭式形式推导得出。
- 文中提出一种无需逐项校准参数的算法。
- 流动性折扣用于平衡客户订单流与逆向选择损失。
标签
全文
# A Simple Strategy to Deal with Toxic Flow # A Simple Strategy to Deal with Toxic Flow We model the trading activity between a broker and her clients (informed and uninformed traders) as an infinite-horizon stochastic control problem. We derive the broker's optimal dealing strategy in closed form and use this to introduce an algorithm that bypasses the need to calibrate individual parameters, so the dealing strategy can be executed in real-world trading environments. Finally, we characterise the discount in the price of liquidity a broker offers clients. The discount strikes the optimal balance between maximising the order flow from the broker's clients and minimising adverse selection losses to the informed traders.
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。