摘要翻译：
我们考虑了一个解决极限订单书中最优清算问题的框架。特别地，订单到达被建模为一个强度依赖于清算价格的点过程。我们建立了一个随机控制问题，目标是最大限度地从清算整个头寸中获得预期收益。我们解决了幂律和指数衰减序书模型的最优清算问题，并讨论了几种推广。当交易单位越来越小，交易强度越来越大时，我们还考虑了连续卖出（或流动）限制。这个极限提供了值函数和最优解的解析近似。利用粘性解的技巧，证明了离散状态问题及其最优解在压坯上一致收敛于连续销售极限下的相应量。
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英文标题：
《Liquidation in Limit Order Books with Controlled Intensity》
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作者：
Erhan Bayraktar and Michael Ludkovski
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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：
  We consider a framework for solving optimal liquidation problems in limit order books. In particular, order arrivals are modeled as a point process whose intensity depends on the liquidation price. We set up a stochastic control problem in which the goal is to maximize the expected revenue from liquidating the entire position held. We solve this optimal liquidation problem for power-law and exponential-decay order book models and discuss several extensions. We also consider the continuous selling (or fluid) limit when the trading units are ever smaller and the intensity is ever larger. This limit provides an analytical approximation to the value function and the optimal solution. Using techniques from viscosity solutions we show that the discrete state problem and its optimal solution converge to the corresponding quantities in the continuous selling limit uniformly on compacts.
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PDF链接：
https://arxiv.org/pdf/1105.0247