最优交易策略对交易持续期的影响  

The Effects of the Optimal Trading Strategies on Trading Durations

作　　者：张强[1,2] 刘善存[1] 林千惠[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：《中国管理科学》2012年第5期24-30,共7页Chinese Journal of Management Science

基　　金：国家自然科学基金资助项目(71071010;70831001)

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。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 re- suits for the expected time of a market sell order arriving. Therefore, the self-correlation of trade is endog- enous in the dynamic process where there is no informed trader.

关 键 词：限价指令簿 私人估值 交易持续期 POISSON过程 到达强度 

分 类 号：F830[经济管理—金融学]