证券买卖速度受制约下的最优交易策略

Optimal trading strategies with restricted securities buying and selling speeds

以往对最优交易策略的研究忽略了交易速度的外生制度性约束.本文基于弱有效市场假设,构建交易速度受制约条件下,最大化投资效用的交易策略模型.运用极大值原理,推导出不同市场情形、各种初始持仓条件下最优交易策略的解析解.通过对最优交易策略的进一步分析表明:存在一个最优初始持仓(即机会容量)使投资效用最大化;投资者需以最大交易速度在投资期的初始阶段以机会容量为目标调整持仓,并在投资期的最后阶段出清仓位.

Previous studies of optimal trading strategies have neglected the exogenous institutional constraints of trading speeds.Under the weak-form efficient market hypothesis,this paper builds an investment utility maximization model for trading strategies in the presence of limits on trading speeds.Applying the maximum principle,the closed-form solutions of optimal trading strategies under different market conditions and various initial positions are derived.A further analysis of optimal trading strategies indicates that there exists an optimal initial position(i.e.opportunity capacity)which maximizes the investor's utility.Also,the investor needs to trade at the maximum speed to adjust the position with the opportunity capacity as the target at the initial stage of the investment horizon,and to liquidate the position at the final stage.