最优交易策略对交易持续期的影响

Abstract

Abstract: In this paper, a one-tick model in limit order market is presented. When agents arrive at the market according to Poisson process and choose to submit a limit order or a market order to maximize their payoffs, the book follows a dynamic pattern. Although the durations of traders arrivals are independent, the trading strategies do affect the next trading duration. The expected time of a market buy order arriving increases when a trader submits a buy order, and decreases when a trader submits a sell order. Similar results for the expected time of a market sell order arriving. Therefore, the self-correlation of trade is endogenous in the dynamic process where there is no informed trader.

Key words: limit order book, private value, trading duration, Poisson process, arrival rate

CLC Number:

F830

ZHANG Qiang, LIU Shan-cun, LIN Qian-hui, QIU Wan-hua. The Effects of the Optimal Trading Strategies on Trading Durations[J]. Chinese Journal of Management Science, 2012, 20(5): 24-30.

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The Effects of the Optimal Trading Strategies on Trading Durations

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