基于限价订单簿的最优高频做市商策略研究

Optimal high-frequency market making strategy research based on limit order book

建立具有成交风险和存货风险的价差过程模型,在引入存货惩罚函数的同时将策略的目标确定为效用最大化.将策略求解的过程看成是随机最优控制问题,并通过动态规划求解,离散模型框架下采用有限差分的方法对每个时间点不同存货及市场价差下的下单策略进行求解.该策略满足了模型定义之初对于成交强度,市场价差及存货量对下单行为影响的假设,而策略的实证及可靠性检验进一步表明了该策略具有较为稳定的收益.

Based on considering the execution and inventory risk, the spread process is modelled and the inventory penalty function is also introduced. The market-making strategy is to maximize the expected utility function. The solution of the strategy can be considered as a stochastic optimal control problem. Employing the dynamic programming principle, the stochastic optimal control problem can be written as related variational inequality and solved by finite difference method. The order submissions given by the strategy are in accord with the assumption for execution density, spread and inventory＇ effect on order submission. The empirical and reliable tests of the strategy show that it has stable profitability under reasonable assumptions.