کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
961401 | 929848 | 2013 | 32 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Optimal trading strategy and supply/demand dynamics
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
In this paper, we study how the intertemporal supply/demand of a security affects trading strategy. We develop a general framework for a limit order book market to capture the dynamics of supply/demand. We show that the optimal strategy to execute an order does not depend on the static properties of supply/demand such as bid-ask spread and market depth, it depends on their dynamic properties such as resilience: the speed at which supply/demand recovers to its steady state after a trade. In general, the optimal strategy is quite complex, mixing large and small trades, and can substantially lower execution cost. Large trades remove the existing liquidity to attract new liquidity, while small trades allow the trader to further absorb any incoming liquidity flow.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Markets - Volume 16, Issue 1, February 2013, Pages 1-32
Journal: Journal of Financial Markets - Volume 16, Issue 1, February 2013, Pages 1-32
نویسندگان
Anna A. Obizhaeva, Jiang Wang,