最优交易策略对交易持续期的影响

中国管理科学 ›› 2012, Vol. 20 ›› Issue (5): 24-30.

最优交易策略对交易持续期的影响

张强^1,2, 刘善存¹, 林千惠¹, 邱菀华 ¹

1. 北京航空航天大学经济管理学院,北京 100191;
2. LMIB与北京航空航天大学数学与系统科学学院,北京 100191

收稿日期:2011-08-05 修回日期:2012-07-01 出版日期:2012-10-29 发布日期:2012-10-27
基金资助:
国家自然科学基金资助项目(71071010,70831001)

The Effects of the Optimal Trading Strategies on Trading Durations

ZHANG Qiang^1,2, LIU Shan-cun¹, LIN Qian-hui¹, QIU Wan-hua¹

1. School of Economics and Management,Beihang University,Beijing 100191,China;
2. School of Mathematics and Systems Science ,Beihang University,Beijing 100191,China

Received:2011-08-05 Revised:2012-07-01 Online:2012-10-29 Published:2012-10-27

摘要/Abstract

摘要： 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。

关键词: 限价指令簿, 私人估值, 交易持续期, Poisson过程, 到达强度

Abstract: In this paper, a one-tick model in limit order market is presented. When agents arrive at the market according to Poisson process and choose to submit a limit order or a market order to maximize their payoffs, the book follows a dynamic pattern. Although the durations of traders arrivals are independent, the trading strategies do affect the next trading duration. The expected time of a market buy order arriving increases when a trader submits a buy order, and decreases when a trader submits a sell order. Similar results for the expected time of a market sell order arriving. Therefore, the self-correlation of trade is endogenous in the dynamic process where there is no informed trader.

Key words: limit order book, private value, trading duration, Poisson process, arrival rate

中图分类号:

F830

张强, 刘善存, 林千惠, 邱菀华 . 最优交易策略对交易持续期的影响[J]. 中国管理科学, 2012, 20(5): 24-30.

ZHANG Qiang, LIU Shan-cun, LIN Qian-hui, QIU Wan-hua. The Effects of the Optimal Trading Strategies on Trading Durations[J]. Chinese Journal of Management Science, 2012, 20(5): 24-30.

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