摘要翻译：
本文从一个新的角度研究了证券组合清算的最优调度问题。我们不是像Almgren和Chriss那样只关注调度方面，也不是像Obizhaeva和Wang那样只关注流动性消耗订单，而是将最优交易计划与限价订单的价格联系起来，限价订单必须发送到限价订单簿以最优地清算投资组合。大多数从业者分别处理这两个问题：他们计算一个最佳交易曲线，然后向市场发送订单，试图遵循该曲线。所得结果同时解决了这两个问题。与前一篇解决日内做市问题的论文一样，限价指令与市场的相互作用是通过一个固定在扩散的“公平价格”上的泊松过程来建模的，并使用Hamilton-Jacobi-Bellman方程来解决同时涉及不执行风险和价格风险的问题。我们进行了回溯测试，以举例说明我们的结果的使用，无论是在长时间（整个清算过程）和在5分钟的切片（遵循给定的交易曲线）。
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英文标题：
《Optimal Portfolio Liquidation with Limit Orders》
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作者：
Olivier Gu\'eant, Charles-Albert Lehalle, Joaquin Fernandez Tapia
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最新提交年份：
2012
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Computer Science        计算机科学
二级分类：Systems and Control        系统与控制
分类描述：cs.SY is an alias for eess.SY. This section includes theoretical and experimental research covering all facets of automatic control systems. The section is focused on methods of control system analysis and design using tools of modeling, simulation and optimization. Specific areas of research include nonlinear, distributed, adaptive, stochastic and robust control in addition to hybrid and discrete event systems. Application areas include automotive and aerospace control systems, network control, biological systems, multiagent and cooperative control, robotics, reinforcement learning, sensor networks, control of cyber-physical and energy-related systems, and control of computing systems.
cs.sy是eess.sy的别名。本部分包括理论和实验研究，涵盖了自动控制系统的各个方面。本节主要介绍利用建模、仿真和优化工具进行控制系统分析和设计的方法。具体研究领域包括非线性、分布式、自适应、随机和鲁棒控制，以及混合和离散事件系统。应用领域包括汽车和航空航天控制系统、网络控制、生物系统、多智能体和协作控制、机器人学、强化学习、传感器网络、信息物理和能源相关系统的控制以及计算系统的控制。
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一级分类：Mathematics        数学
二级分类：Optimization and Control        优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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英文摘要：
  This paper addresses the optimal scheduling of the liquidation of a portfolio using a new angle. Instead of focusing only on the scheduling aspect like Almgren and Chriss, or only on the liquidity-consuming orders like Obizhaeva and Wang, we link the optimal trade-schedule to the price of the limit orders that have to be sent to the limit order book to optimally liquidate a portfolio. Most practitioners address these two issues separately: they compute an optimal trading curve and they then send orders to the markets to try to follow it. The results obtained here solve simultaneously the two problems. As in a previous paper that solved the "intra-day market making problem", the interactions of limit orders with the market are modeled via a Poisson process pegged to a diffusive "fair price" and a Hamilton-Jacobi-Bellman equation is used to solve the problem involving both non-execution risk and price risk. Backtests are carried out to exemplify the use of our results, both on long periods of time (for the entire liquidation process) and on slices of 5 minutes (to follow a given trading curve).
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PDF链接：
https://arxiv.org/pdf/1106.3279