执行风险下保留策略的最优订单执行

Xue Cheng, Peng Guo, Tai-ho Wang
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摘要

本文从经纪自营商的角度出发,探讨了 Almgren-Chriss 模型中订单填充不确定性下的元订单执行问题。经纪商代理被授权代表客户执行交易指令。允许代理部署的策略受制于客户规定的基准(称为保留策略)。我们将经纪人的问题表述为一个效用最大化问题,在这个问题中,经纪人寻求最大化其在执行期的超额利润和损失的效用。以封闭形式获得反馈形式的最优策略。在没有执行风险的情况下,受制于保留策略的最优策略是确定的。我们以执行缺口和目标平仓单为基础,建立了在一般保留策略下最优策略的交易轨迹结构。最后,我们通过数值实验展示了最优策略与 TWAP 策略下的交易轨迹,以及投资期末财富和效用的柱状图。
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Optimal Order Execution subject to Reservation Strategies under Execution Risk
The paper addresses the problem of meta order execution from a broker-dealer's point of view in Almgren-Chriss model under order fill uncertainty. A broker-dealer agency is authorized to execute an order of trading on client's behalf. The strategies that the agent is allowed to deploy is subject to a benchmark, referred to as the reservation strategy, regulated by the client. We formulate the broker's problem as a utility maximization problem in which the broker seeks to maximize his utility of excess profit-and-loss at the execution horizon. Optimal strategy in feedback form is obtained in closed form. In the absence of execution risk, the optimal strategies subject to reservation strategies are deterministic. We establish an affine structure among the trading trajectories under optimal strategies subject to general reservation strategies using implementation shortfall and target close orders as basis. We conclude the paper with numerical experiments illustrating the trading trajectories as well as histograms of terminal wealth and utility at investment horizon under optimal strategies versus those under TWAP strategies.
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