英文标题：
《Trading Strategy with Stochastic Volatility in a Limit Order Book Market》
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作者：
Wai-Ki Ching, Jia-Wen Gu, Tak-Kuen Siu and Qing-Qing Yang
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最新提交年份：
2016
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英文摘要：
  In this paper, we employ the Heston stochastic volatility model to describe the stock\'s volatility and apply the model to derive and analyze the optimal trading strategies for dealers in a security market. We also extend our study to option market making for options written on stocks in the presence of stochastic volatility. Mathematically, the problem is formulated as a stochastic optimal control problem and the controlled state process is the dealer\'s mark-to-market wealth. Dealers in the security market can optimally determine their ask and bid quotes on the underlying stocks or options continuously over time. Their objective is to maximize an expected profit from transactions with a penalty proportional to the variance of cumulative inventory cost.
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中文摘要：
本文采用赫斯顿随机波动率模型来描述股票的波动性，并应用该模型推导和分析证券市场中交易商的最优交易策略。我们还将研究扩展到存在随机波动的股票期权的期权做市。数学上，该问题被描述为一个随机最优控制问题，受控状态过程是交易商的市值财富。证券市场上的交易商可以在一段时间内连续不断地确定其对标的股票或期权的买卖报价。他们的目标是使交易的预期利润最大化，而罚金与累计库存成本的方差成正比。
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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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