Hedging of Fixing Exposure
研究了交易商在定盘交易中如何最优对冲风险暴露，发现小规模暴露在计算窗口内完全对冲，大规模暴露则需延长至定盘前窗口，且预对冲可降低客户总交易成本。
ABSTRACT FX fixings are an indispensable and widely used reference rate in a market that trades continuously without an official close. Yet, a dealer's handling of fix transactions is a much debated topic. Especially when exposure to the fix is large relative to available market liquidity and hedging may extend to the pre‐fix window, an inherent conflict of interest can arise between dealer and client. In this paper we use a model with permanent and transient market impact to characterize a dealer's optimal strategy to hedge fixing exposure. We show that smaller fix exposures are fully hedged over the calculation window, but that larger fix transactions are optimally hedged over a longer horizon that includes the pre‐fix window. A client's all‐in transaction costs can be lowered by pre‐fix hedging provided that transient impact decays sufficiently quickly and dominates permanent impact.