自激订单流与市场微观结构下的最优平仓
文章 arXiv papers · 作者: A. Sadoghi et al.
总结
本研究对流动性不足市场中的大额头寸离散时间平仓进行建模，其中新订单以随机且自激的强度到达。价格冲击被建模为该动态订单流过程的线性函数。平仓任务被表述为具有分段确定性状态过程的马尔可夫决策过程，使策略能够考虑不断变化的订单活动和市场结构。
数值结果显示，最优策略取决于市场微观结构。在所述的大额订单未能到达的情形下，策略会在限价订单簿较低价位接受买方报价，以降低库存未能售出并产生期末成本的可能性。摘录未说明测试的市场设置、参数选择或比较，因此这一数值发现的适用范围有限。
核心观点
- 订单到达被建模为强度随机且具有自激性的过程。
- 价格冲击与动态变化的订单流过程呈线性关系。
- 平仓问题被表述为离散时间马尔可夫决策过程。
- 最优行为因市场微观结构而异，并可能在订单簿较低价位接受买方报价，以降低库存剩余风险。
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# Optimum Liquidation Problem Associated with the Poisson Cluster Process # Optimum Liquidation Problem Associated with the Poisson Cluster Process In this research, we develop a trading strategy for the discrete-time optimal liquidation problem of large order trading with different market microstructures in an illiquid market. In this framework, the flow of orders can be viewed as a point process with stochastic intensity. We model the price impact as a linear function of a self-exciting dynamic process. We formulate the liquidation problem as a discrete-time Markov Decision Processes, where the state process is a Piecewise Deterministic Markov Process (PDMP). The numerical results indicate that an optimal trading strategy is dependent on characteristics of the market microstructure. When no orders above certain value come the optimal solution takes offers in the lower levels of the limit order book in order to prevent not filling of orders and facing final inventory costs.
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