基于交易量的最优指令提交策略模型  

Optimal Order Submission Strategy Based on Volume

作　　者：张强[1,2] 刘善存[1] 邱菀华[1] 

机构地区：[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

出　　处：《数学的实践与认识》2012年第12期9-16,共8页Mathematics in Practice and Theory

基　　金：国家自然科学基金(70671006);全国优秀博士论文作者专项基金(2000466)

摘　　要：构建了两个价位的指令驱动市场模型.交易者根据自己的估值选择提交限价指令或市价指令.假设交易量作为交易者的禀赋,可在一个连续区间上任意取值,从而提出限价收益曲线的概念,并结合该曲线给出基于交易量的最优指令提交策略时.最优指令提交策略不仅依赖于交易者的私人估值、市场深度和价差,同时依赖于交易者所持交易量.模型揭示以下几点微观特征:1.私人估值偏离证券基本价值较大的交易者倾向于提交市价订单,而私人估值接近证券基本价值的交易者倾向于提交限价订单;2.当市场深度较小时,交易者倾向于限价单;而市场深度较大时,交易者倾向于提交市价单;3.随价差的增加,交易者更倾向于提交限价订单.This article presents a one-tick model of a limit order market. Agents choose to submit a limit order or a market order depending on their valuations. Suppose the quantity is the endorsement of the traders and belongs to a continuous interval, we present a limit order profit curve. Meanwhile, according the limit profit curve, we construct the optimal strategy which depends on the trade＇s private valuation, the depth of the market, the spread as well as the quantity of the trader. The model illustrates some features as follows： 1. The more degree the private value deviates from the asset underling value, it is more likely for the trader to submit market order. 2. When the depth of the market declines, the traders from both sides prefer to limit order, whereas if the depth of the market increases, the traders prefer to market order. 3. While the spread is widen, traders tend to submit limit order.

关 键 词：私人估值 限价收益曲线 指令驱动 混合策略 

分 类 号：F224[经济管理—国民经济] F830.91