论文标题
执行交易的交易成本
Transaction Costs in Execution Trading
论文作者
论文摘要
在目前的工作中，我们开发了一种形式主义，以解决交易市场证券时最佳执行问题。更确切地说，我们引入了一种实用功能，该功能可以平衡市场影响和时机风险，最后一个模型是由我们的订单执行所产生的非常负的交易成本。该框架建立在有关最佳交易策略的现有理论之上，但结合了实现独特执行策略的特征。形式主义通过对各种影响模型和市场收益的不同分配特性的分析来补充。
In the present work we develop a formalism to tackle the problem of optimal execution when trading market securities. More precisely, we introduce a utility function that balances market impact and timing risk, with this last being modelled as the very negative transaction costs incurred by our order execution. The framework is built upon existing theory on optimal trading strategies, but incorporates characteristics that enable distinctive execution strategies. The formalism is complemented by an analysis of various impact models and different distributional properties of market returns.
