论文标题
具有不同贸易信号的最佳交易
Optimal Trading with Differing Trade Signals
论文作者
论文摘要
当代理商对资产价值的主观看法与交易市场价格不同时，我们会考虑最大化投资组合价值的问题。代理商的交易将产生价格影响，这会影响资产交易的价格。除了影响市场价格的代理商的交易外，如果其与市场价格的差额持续存在，代理商可能会改变对资产价值的看法。当他们对资产价值有主观的看法时，我们还考虑了几个代理人同时进行交互和交易的情况。考虑了两种主观观点的案例，其中一个都共享相同的信息，而它们都具有与价格创新相关的个体信号。为了研究大型代理问题，我们采用了一种平均场地游戏方法，该方法仍然可以拖延。在对平均场平衡进行分类之后，我们计算代理库存的横截面分布以及价格分布对代理之间共享信息量的依赖。
We consider the problem of maximizing portfolio value when an agent has a subjective view on asset value which differs from the traded market price. The agent's trades will have a price impact which affect the price at which the asset is traded. In addition to the agent's trades affecting the market price, the agent may change his view on the asset's value if its difference from the market price persists. We also consider a situation of several agents interacting and trading simultaneously when they have a subjective view on the asset value. Two cases of the subjective views of agents are considered, one in which they all share the same information, and one in which they all have an individual signal correlated with price innovations. To study the large agent problem we take a mean-field game approach which remains tractable. After classifying the mean-field equilibrium we compute the cross-sectional distribution of agents' inventories and the dependence of price distribution on the amount of shared information among the agents.
