Optimal Trading with Speed-Dependent Transaction Cost Rates: A Flexible Framework
针对限价订单簿中交易成本率随速度不规则变化的问题，提出一个灵活模型，用分段线性函数近似任意成本率，并刻画最优交易策略的特征，发现大额交易会同时产生订单拆分和U型模式，而简单策略成本高昂。
Optimal Trading with Flexible Speed-Dependent Transaction Costs Transaction cost rates (TCRs) implied by most limit order books (LOBs) display irregular functional forms in trading speeds, making it difficult to fit them using the TCR functions proposed in prior studies. In “Optimal Trading with Speed-Dependent Transaction Cost Rates: A Flexible Framework,” Liu, Qian, and Xu develop a workhorse model to study optimal trade execution with general TCR functions. The piecewise linear TCR function form in the model can approximate any TCR functions. The authors characterize important features of the optimal trading strategy. The model simultaneously generates order-shredding and U-shape trading patterns for large required trades. In addition, the authors demonstrate that implementing common naive trading strategies, such as trading all the position instantly, or at a constant speed, or incorrectly assuming linear TCR function, can be costly.