论文标题
具有身份选择性的最佳执行
Optimal Execution with Identity Optionality
论文作者
论文摘要
本文在最佳执行框架中调查了匿名交易对代理商策略的影响。它主要探讨多伦多证券交易所上订单归因的特异性，经纪人可以选择以自己的身份或所有经纪人共有的通用匿名代码进行交易。我们为$ n $ n $ brokers人口的最佳执行问题制定了随机差异游戏，并为身份揭示和匿名交易流程带来了永久和临时的价格影响。然后，我们用常见的噪声制定了限制的控件均值游戏游戏，并通过Almgren-Chris价格影响框架的概率方法以封闭形式获得解决方案。最后，我们执行灵敏度分析，以探索模型参数对最佳策略的影响。
This paper investigates the impact of anonymous trading on the agents' strategy in an optimal execution framework. It mainly explores the specificity of order attribution on the Toronto Stock Exchange, where brokers can choose to either trade with their own identity or under a generic anonymous code that is common to all the brokers. We formulate a stochastic differential game for the optimal execution problem of a population of $N$ brokers and incorporate permanent and temporary price impacts for both the identity-revealed and anonymous trading processes. We then formulate the limiting mean-field game of controls with common noise and obtain a solution in closed-form via the probabilistic approach for the Almgren-Chris price impact framework. Finally, we perform a sensitivity analysis to explore the impact of the model parameters on the optimal strategy.
