基于流动性约束和价格趋势的最优交易策略  

Optimal Trading Strategy under Liquidity Constraint and Price Trends

作　　者：刘善存[1] 许杨[1] 朱元琪[1] 张强[2] 

机构地区：[1]北京航空航天大学经济管理学院,北京100191 [2]北京化工大学经济管理学院,北京100029

出　　处：《数学的实践与认识》2013年第15期204-213,共10页Mathematics in Practice and Theory

基　　金：国家自然科学基金(71071010)

摘　　要：股票市场中当交易规模较大时,投资者不仅要预判未来的股票价格趋势从而降低风险成本,也要考虑大额交易指令对市场冲击的成本.在投资者预判股票未来价格趋势的同时,考虑交易量的线性价格冲击,建立一个控制最小交易成本的策略模型,采用随机动态规划方法得出总体执行成本最小的交易策略解析解,进一步利用数值算例对最优交易策略进行了比较静态分析.The investors should not only expect future price trend, but also consider the cost of liquidity impact caused by their large position, When the investor trade a large position of stocks. This article presents a trading model which considers linear price impact and the investor＇ s estimation function about future price movement, we derive a closed-form optimal trading strategy which minimizes the total execution cost in a stochastic dynamic programming framework. Furthermore, several numeric examples are provided to analyze the static comparable effects of the strategy.

关 键 词：流动性约束 价格趋势 交易策略 市场微观结构 

分 类 号：F224[经济管理—国民经济] F832.51