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Incorporating order-flow into optimal execution

机译：将订单流程纳入最佳执行

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摘要

We provide an explicit closed-form strategy for an investor who executes a large order when market order-flow from all agents, including the investor's own trades, has a permanent price impact. The strategy is found in closed-form when the permanent and temporary price impacts are linear in the market's and investor's rates of trading. We do this under very general assumptions about the stochastic process followed by the order-flow of the market. The optimal strategy consists of an Almgren-Chriss execution strategy adjusted by a weighted-average of the future expected net order-flow (given by the difference of the market's rate of buy and sell market orders) over the execution trading horizon and proportional to the ratio of permanent to temporary linear impacts. We use historical data to calibrate the model to Nasdaq traded stocks and use simulations to show how the strategy performs.
机译：当所有代理商（包括投资者自己的交易）的市场订单流对价格产生永久影响时，我们为执行大订单的投资者提供了明确的封闭式策略。当永久价格和暂时价格的影响与市场和投资者的交易汇率呈线性关系时，该策略以封闭形式出现。我们在关于随机过程以及随后的市场订单流的非常一般的假设下进行此操作。最优策略由Almgren-Chriss执行策略组成，该策略通过执行交易范围内的未来预期净订单流（由市场买卖市场订单率的差异得出）的加权平均值进行调整，并与交易量成正比。永久性和临时性线性影响的比率。我们使用历史数据将模型校准为Nasdaq交易股票，并使用模拟显示该策略的执行情况。

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