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跨交易所优化限价单与市价单的下单方式

文章 arXiv papers · 作者: Rama Cont et al.
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总结

本文提出一个框架，用于决定如何在电子股票市场执行交易。交易者可以使用市价单或限价单，也可以将订单路由至多个交易所。该方法将下单视为凸优化问题，并将决策与订单流、限价订单簿中的队列规模、交易所费用与返佣以及交易者偏好联系起来。

对于单一交易所，作者推导出将订单拆分为市价单和限价单的显式解。对于多个交易所，他们提出一种随机算法来计算最优策略，并通过数值实现考察解对参数变化的响应。这为分析执行选择提供了结构化方法，但描述未提供数值结果，也未说明假设、校准或现实验证的细节。策略的实用性取决于其输入能否准确反映交易者面对的实盘订单簿、订单流和费用表。

核心观点

  • 下单方式取决于订单流、队列规模、费用与返佣以及交易者偏好。
  • 该框架将执行选择表述为凸优化问题。
  • 对于单一交易所，该方法推导出市价单与限价单之间的显式拆分方案。
  • 对于多个交易所，随机算法可计算最优下单策略。
  • 数值分析考察了对模型参数的敏感性，但本文未给出具体结果。

标签

股票交易执行市场微观结构统计学
全文
# Optimal order placement in limit order markets


# Optimal order placement in limit order markets









To execute a trade, participants in electronic equity markets may choose to submit limit orders or market orders across various exchanges where a stock is traded. This decision is influenced by the characteristics of the order flow and queue sizes in each limit order book, as well as the structure of transaction fees and rebates across exchanges. We propose a quantitative framework for studying this order placement problem by formulating it as a convex optimization problem. This formulation allows to study how the interplay between the state of order books, the fee structure, order flow properties and preferences of a trader determine the optimal placement decision. In the case of a single exchange, we derive an explicit solution for the optimal split between limit and market orders. For the general problem of order placement across multiple exchanges, we propose a stochastic algorithm for computing the optimal policy and study the sensitivity of the solution to various parameters using a numerical implementation of the algorithm.

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。