英文标题：
《Trading Cointegrated Assets with Price Impact》
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作者：
Alvaro Cartea, Luhui Gan, Sebastian Jaimungal
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最新提交年份：
2018
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英文摘要：
  Executing a basket of co-integrated assets is an important task facing investors. Here, we show how to do this accounting for the informational advantage gained from assets within and outside the basket, as well as for the permanent price impact of market orders (MOs) from all market participants, and the temporary impact that the agent\'s MOs have on prices. The execution problem is posed as an optimal stochastic control problem and we demonstrate that, under some mild conditions, the value function admits a closed-form solution, and prove a verification theorem. Furthermore, we use data of five stocks traded in the Nasdaq exchange to estimate the model parameters and use simulations to illustrate the performance of the strategy. As an example, the agent liquidates a portfolio consisting of shares in Intel Corporation (INTC) and Market Vectors Semiconductor ETF (SMH). We show that including the information provided by three additional assets, FARO Technologies (FARO), NetApp (NTAP) and Oracle Corporation (ORCL), considerably improves the strategy\'s performance; for the portfolio we execute, it outperforms the multi-asset version of Almgren-Chriss by approximately 4 to 4.5 basis points.
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中文摘要：
执行一篮子共同整合资产是投资者面临的一项重要任务。在这里，我们展示了如何考虑从篮子内外的资产中获得的信息优势，以及所有市场参与者的市场订单（MOs）的永久价格影响，以及代理的MOs对价格的临时影响。将执行问题转化为一个最优随机控制问题，证明了在一些温和的条件下，值函数允许闭式解，并证明了一个验证定理。此外，我们使用在纳斯达克交易所交易的五只股票的数据来估计模型参数，并使用仿真来说明该策略的性能。例如，代理人清算由英特尔公司（INTC）和Market Vectors Semiconductor ETF（SMH）的股份组成的投资组合。我们表明，包括法罗科技（FARO Technologies）、NetApp（NTAP）和Oracle Corporation（ORCL）这三项额外资产提供的信息，可以显著提高战略的绩效；对于我们执行的投资组合，其表现优于Almgren Chriss的多资产版本约4至4.5个基点。
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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：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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