基于日内流动性模式的最优变现策略

The Optimal Liquidation Strategies on Intraday Liquidity Patterns

考虑到交易的价格影响是该时刻的交易量与市场流动性折扣的函数,假设风险资产价格服从算术布朗运动,以及分别在不考虑日内流动性模式,考虑L形和U形日内流动性模式的基础上,采用拉格朗日运动方程以及Frobenius方法,得到了大额风险头寸的日内最优变现策略.结果表明,最优变现速度与投资者的风险厌恶程度、资产波动率成正比;与临时性冲击系数、日内流动性折扣系数成反比.上述三种情形下的最优变现策略模式分别呈L形、反S形或倒J形、倒J形或反S形.

Considering that the traders price impact function includes the trade size and the liquidity discount of security market at that time, under the assumption that the risky asset＇s price follows the arithmetic Brown motion, and based on the none-shape, I. shape or U shape of intraday liquidity patterns, this paper introduced the Lagrange equation of motion and the method of Frobenius, and found out the optimal intraday liquidation strategies of large security positions. The results show that the optimal liquidation rate is positively relative with the investors＇ risk tolerance and the assets＇ volatility rate, and negatively with the coefficients of the temporary impact and the intraday liquidity discount. The optimal liquidation patterns of assets in the situations above are L shape, S shape in reverse or J shape upside down, and J shape upside down or S shape in reverse respectively.