英文标题：
《Static vs Adaptive Strategies for Optimal Execution with Signals》
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作者：
Claudio Bellani, Damiano Brigo, Alex Done and Eyal Neuman
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最新提交年份：
2019
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英文摘要：
  We compare optimal static and dynamic solutions in trade execution. An optimal trade execution problem is considered where a trader is looking at a short-term price predictive signal while trading. When the trader creates an instantaneous market impact, it is shown that transaction costs of optimal adaptive strategies are substantially lower than the corresponding costs of the optimal static strategy. In the same spirit, in the case of transient impact it is shown that strategies that observe the signal a finite number of times can dramatically reduce the transaction costs and improve the performance of the optimal static strategy.
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中文摘要：
我们比较了交易执行中的最优静态和动态解。当交易者在交易时看到短期价格预测信号时，考虑一个最优交易执行问题。当交易者产生即时市场影响时，最优自适应策略的交易成本大大低于最优静态策略的相应成本。本着同样的精神，在瞬态冲击的情况下，可以证明观察有限次信号的策略可以显著降低交易成本，并提高最优静态策略的性能。
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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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