英文标题：
《Facilitation and Internalization Optimal Strategy in a Multilateral
  Trading Context》
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作者：
Qinghua Li
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最新提交年份：
2015
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英文摘要：
  This paper studies four trading algorithms of a professional trader at a multilateral trading facility, observing a realistic two-sided limit order book whose dynamics are driven by the order book events. The identity of the trader can be either internalizing or regular, either a hedge fund or a brokery agency. The speed and cost of trading can be balanced by properly choosing active strategies on the displayed orders in the book and passive strategies on the hidden orders within the spread. We shall show that the price switching algorithms provide lower and upper bounds of the mixed trading algorithms. Especially, when the internalization premium is zero, an internalizing trader\'s optimal mixed trading strategy can be achieved among the set of price switching strategies. For both an internalizing trader and a regular trader, the optimal price switching strategy exists and is expressed in terms of the value function. A parallelizable algorithm to numerically compute the value function and optimal price switching strategy for the discretized state process is provided.
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中文摘要：
本文研究了多边交易机构中专业交易者的四种交易算法，观察了一个真实的双边限制指令簿，其动态由指令簿事件驱动。交易者的身份可以是内化的，也可以是常规的，可以是对冲基金或经纪机构。交易的速度和成本可以通过对账簿中显示的订单正确选择主动策略和对价差中隐藏的订单正确选择被动策略来平衡。我们将证明价格转换算法提供了混合交易算法的上界和下界。特别是当内部化溢价为零时，内部化交易者的最优混合交易策略可以在一组价格转换策略中实现。对于内化交易者和常规交易者来说，最优价格转换策略都存在，并用价值函数表示。提出了一种数值计算离散状态过程的价值函数和最优价格转换策略的并行算法。
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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：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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