最优执行与信息价值

Best execution and value of information

信息是影响金融市场运行的重要因素之一,为了更好地理解信息对交易行为的作用,该文把信息引入到最优执行分析当中,使用逆向动态规划的方法求解模型,给出了执行成本以及最优交易策略,并分析了最优交易策略以及不同参数对执行成本的影响。在一定条件下,当期股票价格上升时参与者反而会买入更多股票。执行成本随着信息影响系数(信息的自相关系数)γ(α)的增加而增加,当γ、α较小时,由最优执行节约的成本更多;而当γ、α较大时,由信息节约的成本更多。给定永久性价格影响系数λ较小时,随着收敛速度ρ的增加,执行成本节约的变化趋势是先增加、后减少,呈现倒"U"型。结论显示最优交易策略能够降低执行成本,而信息能够明显地降低执行成本。

Information is one of important factors influencing the financial markets. This paper is the pioneer which introduces information into best execution from which people can understand the information＇s effect on trading better. It solves the model via backward dynamic programming first, giving execution cost and optimal trading strategy, and then analyzes the optimal trading strategy and how different parameters affect execution cost. Under certain conditions, the agent buys more shares when the stock price goes higher. Execution cost increases as information impact （autocorrelation of information） γ（α） increases and deduction of execution cost due to information is larger when γ、α are bigger. Given small permanent price impact λ, the saving of execution cost increases first and then decreases as convergence rate p increases. The result shows that best execution can reduce execution cost and information has significant effect on it.