论文标题
具有暂时和瞬态价格影响的最佳信号自适应交易
Optimal Signal-Adaptive Trading with Temporary and Transient Price Impact
论文作者
论文摘要
我们研究了在有线性临时和瞬态价格影响的情况下，考虑到预测有限变化信号的一般价格。我们将这个问题提出，因为在一系列绝对连续和信号自适应策略中，成本风险功能最小化。通过遵循概率和凸的分析方法来解决随机控制问题。我们表明，最佳交易策略是由四个耦合前回向SDE的系统给出的，可以明确解决。我们的结果揭示了诱导的瞬态价格失真如何与预测信号一起提供有关未来价格变化的附加预测指标。结果，最佳信号自适应交易率与利用预测信号的利用，而不是从其未受影响的水平上产生执行价格的瞬态位移。这回答了Lehalle和Neuman [29]的一个公开问题，因为当价格影响不仅是暂时的，而且是短暂的，我们展示了如何得出独特的最佳信号自适应清算策略。
We study optimal liquidation in the presence of linear temporary and transient price impact along with taking into account a general price predicting finite-variation signal. We formulate this problem as minimization of a cost-risk functional over a class of absolutely continuous and signal-adaptive strategies. The stochastic control problem is solved by following a probabilistic and convex analytic approach. We show that the optimal trading strategy is given by a system of four coupled forward-backward SDEs, which can be solved explicitly. Our results reveal how the induced transient price distortion provides together with the predictive signal an additional predictor about future price changes. As a consequence, the optimal signal-adaptive trading rate trades off exploiting the predictive signal against incurring the transient displacement of the execution price from its unaffected level. This answers an open question from Lehalle and Neuman [29] as we show how to derive the unique optimal signal-adaptive liquidation strategy when price impact is not only temporary but also transient.
