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构建一个纯流动市场交易动态策略模型。假设交易者按Poisson过程到达市场,交易者根据其私人估值及市场状态对限价指令的收益做预期,通过最大化其收益确定所提交指令的类型(限价指令或市价指令)。模型发现,虽然交易者到达市场的时间间隔相互独立,但交易持续期却受前一期的交易策略影响:买(卖)指令的提交将增加下一期卖(买)交易持续期的期望值,减小下一期买(卖)交易的持续期的期望值。因而,交易间的自相关性是依据最优交易策略所内生的性质,与知情交易无关。
Construct a purely liquid market trading dynamic strategy model. Suppose a trader arrives on the market according to the Poisson process. The trader anticipates the return of the limit order based on his private valuation and market conditions, and determines the type of order submitted (limit order or market order) by maximizing his return. The model finds that although the traders reach the market at different intervals, the duration of the trades is affected by the previous trading strategy: the submission of the buy order will increase the expected value of the next traded period, Reduce the expected value of the duration of the next purchase (sell) transaction. Thus, the inter-transaction autocorrelation is based on the endogenous nature of the optimal trading strategy and has nothing to do with informed trading.