英文标题：
《Algorithmic trading in a microstructural limit order book model》
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作者：
Fr\\\'ed\\\'eric Abergel (MICS), C\\^ome Hur\\\'e (LPSM (UMR\\_8001)), Huy\\^en
  Pham (LPSM (UMR\\_8001))
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最新提交年份：
2020
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英文摘要：
  We propose a microstructural modeling framework for studying optimal market making policies in a FIFO (first in first out) limit order book (LOB). In this context, the limit orders, market orders, and cancel orders arrivals in the LOB are modeled as Cox point processes with intensities that only depend on the state of the LOB. These are high-dimensional models which are realistic from a micro-structure point of view and have been recently developed in the literature. In this context, we consider a market maker who stands ready to buy and sell stock on a regular and continuous basis at a publicly quoted price, and identifies the strategies that maximize her P\\&L penalized by her inventory. We apply the theory of Markov Decision Processes and dynamic programming method to characterize analytically the solutions to our optimal market making problem. The second part of the paper deals with the numerical aspect of the high-dimensional trading problem. We use a control randomization method combined with quantization method to compute the optimal strategies. Several computational tests are performed on simulated data to illustrate the efficiency of the computed optimal strategy. In particular, we simulated an order book with constant/ symmet-ric/ asymmetrical/ state dependent intensities, and compared the computed optimal strategy with naive strategies. Some codes are available on https://github.com/comeh.
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中文摘要：
我们提出了一个微观结构建模框架，用于研究先进先出（FIFO）限额指令簿（LOB）中的最优做市策略。在这种情况下，LOB中的限额订单、市场订单和取消订单到达被建模为Cox点过程，其强度仅取决于LOB的状态。这些是高维模型，从微观结构的角度来看是真实的，最近在文献中得到了发展。在这种情况下，我们考虑一个随时准备以公开报价定期和连续买卖股票的做市商，并确定使其存货所受损益最大化的策略。我们应用马尔可夫决策过程理论和动态规划方法对最优做市问题的解进行了分析表征。论文的第二部分讨论了高维交易问题的数值方面。我们使用控制随机化方法结合量化方法来计算最优策略。对模拟数据进行了若干计算测试，以说明计算出的最优策略的有效性。特别是，我们模拟了一个具有常数/对称/非对称/状态依赖强度的订单，并将计算出的最优策略与朴素策略进行了比较。某些代码在上可用https://github.com/comeh.
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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：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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