英文标题：
《The Impact of Execution Delay on Kelly-Based Stock Trading:
  High-Frequency Versus Buy and Hold》
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作者：
Chung-Han Hsieh, B. Ross Barmish, John A. Gubner
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最新提交年份：
2019
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英文摘要：
  Stock trading based on Kelly\'s celebrated Expected Logarithmic Growth (ELG) criterion, a well-known prescription for optimal resource allocation, has received considerable attention in the literature. Using ELG as the performance metric, we compare the impact of trade execution delay on the relative performance of high-frequency trading versus buy and hold. While it is intuitively obvious and straightforward to prove that in the presence of sufficiently high transaction costs, buy and hold is the better strategy, is it possible that with no transaction costs, buy and hold can still be the better strategy? When there is no delay in trade execution, we prove a theorem saying that the answer is ``no.\'\' However, when there is delay in trade execution, we present simulation results using a binary lattice stock model to show that the answer can be ``yes.\'\' This is seen to be true whether self-financing is imposed or not.
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中文摘要：
基于Kelly著名的预期对数增长（ELG）标准的股票交易在文献中受到了相当大的关注，这是一种众所周知的最优资源配置处方。使用ELG作为绩效指标，我们比较了交易执行延迟对高频交易与买入并持有的相对绩效的影响。虽然直观地证明，在交易成本足够高的情况下，买入并持有是更好的策略，但在没有交易成本的情况下，买入并持有是否仍然可能是更好的策略？当交易执行没有延迟时，我们证明了一个定理，即答案为“否”。然而，当交易执行有延迟时，我们使用二元晶格股票模型给出了模拟结果，以表明答案可以是“是”无论是否强制实行自筹资金，这都是事实。
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分类信息：

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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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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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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