摘要
引入信息不对称和瞬时冲击,研究了捕食交易策略及其存在的必要条件,并给出数值算例.结论表明,捕食者的最优交易策略为时间的二次曲线形式,并且捕食交易利润是瞬时冲击系数的单调减函数.
In existence of information asymmetry and temporary price impact, we study the predatory trading strategy and the necessary condition. We also give the numerical example. The conclusion shows that the optimal strategy of predator is the quadratic equation of time and the profit is the descending function of temporary impact coefficient.
出处
《数学的实践与认识》
CSCD
北大核心
2006年第2期73-79,共7页
Mathematics in Practice and Theory
基金
国家自然科学基金(70471025)
关键词
捕食交易
瞬时冲击
永久冲击
信息不对称
predatory trading
temporary impact
permanent impact
information asymmetry
