交易延迟与机构投资者交易策略研究

A Study on Order Execution Delay and Optimal Trading Strategy

对于机构投资者而言,出清具有一定规模的证券时,其提交指令的行为将对证券价格造成冲击形成交易成本,之后指令执行延迟也造成交易成本。文章以既定风险厌恶的机构投资者为研究对象,探讨其在交易延迟下的最优指令提交策略。经研究表明:交易延迟下最优指令提交策略受风险态度、证券收益、证券价格的波动性、市场的流动性与深度以及瞬时冲击程度等参数影响,不同市场的情况要求机构投资者调整策略,改变指令提交过程。

As for an institutional investor, the activity to execute order will cause impulse cost, and also trading cost from order delay. This paper will study the institution investor＇ s optimal strategy of breaking a block, which profit by price misevaluation in the face of order execution delay. Results show that the institution investor＇s profit and liquidity cost are affected by risk aversion, stock return and volatility, market liquidity and depth, the degree of breaking, and misevaluation.