两种基准交易模型中的静态与适应性最优执行策略

D. Brigo, C. Piat
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引用次数: 5

摘要

我们考虑了i)完全适应或自适应策略和ii)确定性或静态策略两种不同类型的交易执行问题的最优解,并对它们进行了比较。我们在两个不同的基准模型中这样做。第一个模型是具有信息流过程的离散时间框架,处理永久和临时影响,使交易的预期成本最小化。第二个模型是一个连续时间框架,其中目标函数是预期成本和风险值(或预期不足)类型风险准则的总和。在Bertsimas和Lo(1998)以及Gatheral和Schied(2011)的原著中,这两个框架都知道最优适应解决方案。本文推导了两种基准模型的最优静态策略,并定量研究了从静态策略到完全适应策略的最优性改进。我们得出的结论是,在我们研究的基准模型中,除了模型或影响参数的极端不切实际的情况外,差异是不相关的。这间接证实,在Almgren和Chriss(2000)的类似框架中,得出静态最优解是很好的,正如这些作者所做的那样,而不是完全适应的,因为静态解恰好是可处理的,并且以封闭形式已知。
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Static vs Adapted Optimal Execution Strategies in Two Benchmark Trading Models
We consider the optimal solutions to the trade execution problem in the two different classes of i) fully adapted or adaptive and ii) deterministic or static strategies, comparing them. We do this in two different benchmark models. The first model is a discrete time framework with an information flow process, dealing with both permanent and temporary impact, minimizing the expected cost of the trade. The second model is a continuous time framework where the objective function is the sum of the expected cost and a value at risk (or expected shortfall) type risk criterion. Optimal adapted solutions are known in both frameworks from the original works of Bertsimas and Lo (1998) and Gatheral and Schied (2011). In this paper we derive the optimal static strategies for both benchmark models and we study quantitatively the improvement in optimality when moving from static strategies to fully adapted ones. We conclude that, in the benchmark models we study, the difference is not relevant, except for extreme unrealistic cases for the model or impact parameters. This indirectly confirms that in the similar framework of Almgren and Chriss (2000) one is fine deriving a static optimal solution, as done by those authors, as opposed to a fully adapted one, since the static solution happens to be tractable and known in closed form.
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